Sensitivity of hidden Markov models
Alexander Yu. Mitrophanov, Alexandre Lomsadze, Mark Yu. Borodovsky · Journal of Applied Probability · 2005
We derive a tight perturbation bound for hidden Markov models. Using this bound, we show that, in many cases, the distribution of a hidden Markov model is considerably more sensitive to perturbations in the emission probabilities than to perturbations in the transition probability matrix and the initial distribution of the underlying Markov chain. Our approach can also be used to assess the sensitivity of other stochastic models, such as mixture processes and semi-Markov processes.