A Predictive View on Streaming Hidden Markov Models
We develop a predictive-first optimisation framework for streaming hidden Markov models. Unlike classical approaches that prioritise full posterior recovery under a fully specified generative model, we assume access to regime-specific predictive models whose parameters are learned online while maintaining a fixed transition prior over regimes. Our objective is to sequentially identify latent regimes while maintaining accurate step-ahead predictive distributions. Because the number of possible regime paths grows exponentially, exact filtering is infeasible. We therefore formulate streaming inference as a constrained projection problem in predictive-distribution space: under a fixed hypothe...
| Authors | Gerardo Duran-Martin |
|---|---|
| Primary category | stat.ML |
| Published | 10 April 2026 |
| Last updated at source | 10 April 2026 |
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