Baum-Welch algorithm

cosmos 9th January 2017 at 12:38pm
Hidden Markov model
  • From θ\theta calculate hidden states probabilities.
    • Hidden state probability
    • Hidden state transition probability
  • From hidden states probabilities calculate transition and emission counts estimates
  • From counts estimates θ\theta
    • Transition matrix
    • Emission probabilities
    • Initial probability
  • repeat, stop if increment in likelihood below threshold.