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Prediction in hidden Markov Models using sequential Monte Carlo methods

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4 Author(s)
Dongqing Zhang ; College of Economics & Management, Nanjing University of Aeronautics and Astronautics, CO 210016 CHINA ; Xuanxi Ning ; Xueni Liu ; Hongwei Ma

A novel method of multistep-ahead prediction based on joint probability distribution is proposed in this paper. Firstly, we introduce the basic theory of hidden Markov model (HMM) and sequential Monte Carlo (SMC) method. Secondly, we make the joint multistep-ahead prediction using SMC method in HMM and then develop the corresponding on-line algorithm. At last, the data of monthly national air passengers in America, from Jan. 1990 to Aug 2001, are analyzed, and experimental results demonstrate that the method proposed in this paper is effective.

Published in:

2007 IEEE International Conference on Grey Systems and Intelligent Services

Date of Conference:

18-20 Nov. 2007