University of Edinburgh
We have pleasure to announce a seminar that is a part of the series of
the events dedicated to the anniversary of the publication of Thomas
Bayes' paper and celebrating the University of Edinburgh as alma mater
of Thomas Bayes.
When: Monday 17 February, 3:10pm
Where: JCMB 5327
Judith Rousseau
CEREMADE - Universite Paris Dauphine and ENSAE- CREST
Title: Behaviour of the posterior distribution in hidden Markov models
(HMM) when the number of states is misspecified
Abstract:
In this paper we study the asymptotic behaviour of the posterior
distribution for parametric HMM models with finite number of components.
We concentrate in particular on the case where the number of states of
the hidden Markov chain in the model is larger than the true number of
states. In such cases the parameter is not identifiable. We study the
impact of the prior on the transition matrix on the asymptotic behaviour
of the posterior distribution. In particular that if some independent
Dirichlet priors are considered on each row of the transition matrix we
can identify different types of behaviour of the asymptotic posterior
distribution depending on the choice of the parameter of the Dirichlet
distributions. A link is made with static mixture models and some
numerical study is conducted to illustrate the results and investigate
the behaviour of the posterior in cases where no theoretical results are
provided.
There will be tea and coffee after the talk.
The event is financially supported by the Principal's fund.
Maps:
www.ed.ac.uk/polopoly_fs/1.20490!fileManager/campus_maps.pdf
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