Simultaneous Feature and Model Selection for Continuous Hidden Markov Models
Hao Zhu, Zhongshi He, HENRY K. LEUNG · IEEE Signal Processing Letters · 2012
In this letter, we propose a novel approach of simultaneous feature and model selection for continuous hidden Markov model (CHMM). In our method, a set of real valued quantities, defined as feature saliencies, are proposed for feature selection. A variational Bayesian (VB) framework is applied to infer the feature saliencies, the number of hidden states, and the parameters of the CHMM simultaneously. Experiments based on synthetic and real data demonstrate the effectiveness of the proposed method.