Application of extreme value theory to level estimation in nonlinearly distorted hidden Markov models

TitleApplication of extreme value theory to level estimation in nonlinearly distorted hidden Markov models
Publication TypeJournal Article
Year of Publication2000
AuthorsDogancay, K., and V. Krishnamurthy
JournalSignal Processing, IEEE Transactions on
Volume48
Pagination2289 -2299
Date Publishedaug.
ISSN1053-587X
Keywordsadditive colored noise, computer simulations, curve fitting, curve fitting problem, data measurement systems, deadzone, discrete-time Markov chains, extreme value theory, finite-state Markov chains, hidden Markov models, HMM, level estimation algorithms, maximum likelihood estimation, measurement systems, nonlinear distortion, nonlinearly distorted hidden Markov models, observations, optimum maximum likelihood estimation algorithms, parameter estimation, saturation nonlinearities, sensors, small magnitudes, state level estimation problem, unique global minimum
Abstract

This paper is concerned with the application of extreme value theory (EVT) to the state level estimation problem for discrete-time, finite-state Markov chains hidden in additive colored noise and subjected to unknown nonlinear distortion. If the nonlinear distortion affects only those observations with small magnitudes or those that lie outside a finite interval, we show that the level estimation problem can be reduced to a curve fitting problem with a unique global minimum. Compared with optimum maximum likelihood estimation algorithms, the developed level estimation algorithms are computationally inexpensive and are not affected by the unknown nonlinearity as long as the extreme values of observations are not distorted. This work has been motivated by unknown deadzone and saturation nonlinearities introduced by sensors in data measurement systems. We illustrate the effectiveness of the new EVT-based level estimation algorithms with computer simulations

URLhttp://dx.doi.org/10.1109/78.852010
DOI10.1109/78.852010

a place of mind, The University of British Columbia

Electrical and Computer Engineering
2332 Main Mall
Vancouver, BC Canada V6T 1Z4
Tel +1.604.822.2872
Fax +1.604.822.5949
Email:

Emergency Procedures | Accessibility | Contact UBC | © Copyright 2020 The University of British Columbia