Assessing the goodness-of-fit of hidden Markov models.

  title={Assessing the goodness-of-fit of hidden Markov models.},
  author={Rachel MacKay Altman},
  volume={60 2},
In this article, we propose a graphical technique for assessing the goodness-of-fit of a stationary hidden Markov model (HMM). We show that plots of the estimated distribution against the empirical distribution detect lack of fit with high probability for large sample sizes. By considering plots of the univariate and multidimensional distributions, we are able to examine the fit of both the assumed marginal distribution and the correlation structure of the observed data. We provide general… CONTINUE READING