Speeding Up Bayesian HMM by the Four Russians Method

@inproceedings{Mahmud2011SpeedingUB,
  title={Speeding Up Bayesian HMM by the Four Russians Method},
  author={Md Pavel Mahmud and Alexander Schliep},
  booktitle={WABI},
  year={2011}
}
Bayesian computations with Hidden Markov Models (HMMs) are often avoided in practice. Instead, due to reduced running time, point estimates – maximum likelihood (ML) or maximum a posterior (MAP) – are obtained and observation sequences are segmented based on the Viterbi path, even though the lack of accuracy and dependency on starting points of the local optimization are well known. We propose a method to speed-up Bayesian computations which addresses this problem for regular and time-dependent… CONTINUE READING

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