Generalised linear Gaussian models
A.-V.I. Rosti, Mark Gales · Cambridge University Engineering Department Publications Database · 2001
This paper addresses the time-series modelling of high dimensional data. Currently, the hidden Markov model (HMM) is the most popular and successful model especially in speech recognition. However, there are well known shortcomings in HMMs particularly in the modelling of the correlation between successive observation vectors; that is, inter-frame correlation. Standard diagonal covariance matrix HMMs also lack the modelling of the spatial correlation in the feature vectors; that is, intra-frame correlation. Several other time-series models have been proposed recently especially in the segment model framework to address the inter-frame correlation problem such as Gauss-Markov and dynamical system segment models. The lack of intra-frame correlation has been compensated for with transform schemes such as semi-tied full covariance matrices (STC). All these models can be regarded as belonging to the broad class of generalised linear Gaussian models. Linear Gaussian models (LGM) are popular as many forms may be trained efficiently using the expectation maximisation algorithm. In this paper, several LGMs and generalised LGMs are reviewed. The models can be roughly categorised into four combinations according to two different state evolution and two different observation processes. The state evolution process can be based on a discrete finite state machine such as in the HMMs or a linear first-order Gauss-Markov process such as in the traditional linear dynamical systems. The observation process can be represented as a factor analysis model or a linear discriminant analysis model. General HMMs and schemes proposed to improve their performance such as STC can be regarded as special cases in this framework. ii 1