DocumentCode
2912974
Title
Prediction in hidden Markov Models using sequential Monte Carlo methods
Author
Zhang, Dongqing ; Ning, Xuanxi ; Liu, Xueni ; Ma, Hongwei
Author_Institution
Nanjing Univ. of Aeronaut. & Astronaut., Nanjing
fYear
2007
fDate
18-20 Nov. 2007
Firstpage
718
Lastpage
722
Abstract
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.
Keywords
Monte Carlo methods; hidden Markov models; prediction theory; hidden Markov model; joint probability distribution; multistep-ahead prediction; sequential Monte Carlo method; Economic forecasting; Hidden Markov models; Intelligent systems; Monte Carlo methods; Probability density function; Probability distribution; Sliding mode control; State estimation; Stochastic processes; Trajectory;
fLanguage
English
Publisher
ieee
Conference_Titel
Grey Systems and Intelligent Services, 2007. GSIS 2007. IEEE International Conference on
Conference_Location
Nanjing
Print_ISBN
978-1-4244-1294-5
Electronic_ISBN
978-1-4244-1294-5
Type
conf
DOI
10.1109/GSIS.2007.4443368
Filename
4443368
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