A double penalized maximum likelihood estimator is proposed for simultaneous order selection and parameter estimation in non-stationary hidden Markov models, outperforming AIC and BIC in simulation studies with misspecified models.
Selecting the Number of States in Hidden Markov Models - Pitfalls, Practical Challenges and Pragmatic Solutions
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abstract
We discuss the notorious problem of order selection in hidden Markov models, i.e. of selecting an adequate number of states, highlighting typical pitfalls and practical challenges arising when analyzing real data. Extensive simulations are used to demonstrate the reasons that render order selection particularly challenging in practice despite the conceptual simplicity of the task. In particular, we demonstrate why well-established formal procedures for model selection, such as those based on standard information criteria, tend to favor models with numbers of states that are undesirably large in situations where states shall be meaningful entities. We also offer a pragmatic step-by-step approach together with comprehensive advice for how practitioners can implement order selection. Our proposed strategy is illustrated with a real-data case study on muskox movement.
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Improved order selection method for hidden Markov models: a case study with movement data
A double penalized maximum likelihood estimator is proposed for simultaneous order selection and parameter estimation in non-stationary hidden Markov models, outperforming AIC and BIC in simulation studies with misspecified models.