Prediction in Hidden Markov Models Using Sequential Monte Carlo Methods

摘要：

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.

作者: Dongqing ZHANG Xuanxi NING Xueni LIU Hongwei MA

作者单位: College of Economics & Management, Nanjing University of Aeronautics and Astronautics, Nanjing, CO 2 College of Engineering, Nanjing Agricultural University, Nanjing, CO 210031 CHINA

会议类型: 国际会议

会议名称: 2007年IEEE灰色系统与智能服务国际会议(2007 IEEE International Conference on Grey Systems and Intelligent Services)

会议地点: 南京

会议语种:英文

在线出版日期: 2007-11-18（万方平台首次上网日期，不代表论文的发表时间）