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Robust Sequential Data Modeling Using an Outlier Tolerant Hidden Markov Model

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3 Author(s)
Chatzis, S.P. ; Center for Comput. Sci., Univ. of Miami, Coral Gables, FL, USA ; Kosmopoulos, D.I. ; Varvarigou, T.A.

Hidden Markov (chain) models using finite Gaussian mixture models as their hidden state distributions have been successfully applied in sequential data modeling and classification applications. Nevertheless, Gaussian mixture models are well known to be highly intolerant to the presence of untypical data within the fitting data sets used for their estimation. Finite Student's t-mixture models have recently emerged as a heavier-tailed, robust alternative to Gaussian mixture models, overcoming these hurdles. To exploit these merits of Student's t-mixture models in the context of a sequential data modeling setting, we introduce, in this paper, a novel hidden Markov model where the hidden state distributions are considered to be finite mixtures of multivariate Student's t-densities. We derive an algorithm for the model parameters estimation under a maximum likelihood framework, assuming full, diagonal, and factor-analyzed covariance matrices. The advantages of the proposed model over conventional approaches are experimentally demonstrated through a series of sequential data modeling applications.

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Pattern Analysis and Machine Intelligence, IEEE Transactions on  (Volume:31 ,  Issue: 9 )