隐马尔可夫模型在生物信息学中的应用

隐马尔可夫模型 ( HMM)是一个能够通过可观测的数据很好地捕捉真实空间统计性质的随机模型 ,该模型已成功地运用于语音识别 ,目前 HMM已开始应用于生物信息学 ( bioinformatics) ,已在生物序列分析中得到了广泛的应用 .本文首先介绍了 HMM的基本结构 ,然后着重讨论了 HMM在 DNA序列的多重比对 ,基因发现等生物序列分析中的应用     

二阶离散隐马尔科夫模型的严格定义及等价性质

隐马氏模型作为一种具有双重随机过程的统计模型,具有可靠的概率统计理论基础和强有力的数学结构,已被广泛应用于语音识别、生物序列分析、金融数据分析等领域.由于传统的一阶隐马氏模型无法表示更远状态距离间的依赖关系,就可能会忽略很多有用的统计特征,故有人提出二阶隐马氏模型的概念,但此概念并不严格.本文给出二阶离散隐马尔科夫模型的严格定义,并研究了二阶离散隐马尔科夫模型的两个等价性质.     

基于PCP特征的和弦识别研究与探讨

讨论了音乐识别领域中和弦的四种不同识别方法,给出了基于PCP特征的和弦识别算法.使用PCP作为和弦的特征作为输入送至隐马尔可夫模型中训练,利用Baum-Welch算法估计模型参数,通过Viterbi算法得到正确和弦.通过实验获得了76%的识别率,验证了该算法的可行性.     

隐马尔科夫模型在乙肝发病预测中的应用

基于隐马尔科夫模型(HMM)为中国疾病预防与控制中心发布的乙肝发病数量时间序列进行建模,通过似然函数的计算而建立起一个具有2状态的单变量正态分布隐马尔科夫模型.根据模型估计结果,发现两个状态对应的乙肝发病数量的分布规律有较大差异,分别对应着乙肝疫情的低发状态和高发状态.状态之间有可能发生转换,但是转换的概率比较低.基于所估计得到的隐马尔科夫模型,可以识别出特定时刻乙肝疫情所处的状态,也可以预测未来时刻乙肝疫情所处的状态.     

部分状态可见的隐马尔可夫模型的Viterbi算法

本文研究了隐马尔可夫模型的Viterbi算法,在已知隐马尔可夫模型的部分状态、初始概率分布、状态转移概率矩阵和观测概率矩阵的条件下,由此Viterbi算法给出最优状态序列的估计.相对于已有的算法,本文的算法考虑了部分可见状态对初始条件和递推公式的影响,并且本文的算法能保证预测的状态序列是整体最优的.最后,我们将本文的算法应用于故障识别,从而验证所设计算法的可行性.     

基因识别及其算法研究

针对基因识别问题,基于DNA序列的3周期这一性质,首先给出了DNA序列功率和信噪比的快速算法并讨论了不同物种基因类型的阈值确定方法;在此基础上,建立了基于背景噪声抑制和频谱平滑的SNR频谱预处理模型,经过预处理后的频谱不仅大幅度抑制了背景噪声,同时保留了SNR频谱的模式特征.在编码序列识别上,对经典的EPND预测算法进行了改进,使用改进的EPND算法对经过预处理后频谱进行基因识别,实验结果显示这种基因识别模型具有优异的基因识别性能,比传统直接使用基于滑动窗口DFT的EPND识别算法在敏感度、特异性等评价指标上提高了2%-12%左右.     

隐马尔可夫模型在语音识别中的应用

隐马尔可夫模型 (HMM)的基本技术是语音识别中较为成功的算法 .主要是它具有较强的对时间序列结构的建模能力 .本文首先深入浅出地介绍了 HMM的基本技术和一个基于 HMM的孤立词语音识别系统的构成方法 ,其次 ,基于 HMM尚存有一些缺陷 ,造成语音识别能力较弱 ,为此本文又进一步阐述了语音识别应用中的几种改进的 HMM系统及目前的热点方法—— HMM与 ANN构成的混合网络     

基于DNA微阵列数据分析的分级Bayes模型

如何分离出少量区别不同组织类型的特异性基因是DNA微阵列数据分析中的主要问题,特别是构建恰当的统计模型来刻画这些不同组织类型的DNA表达形式尤为重要.为此,基于基因DNA微阵列数据的特点,我们假定对数变换后的微阵列数据服从混合正态分布.我们采用分级Bayesian先验刻画不同基因的相关性,利用分级Bayesian方法构建模型,给出了刻画不同组织基因表达的差异的一个标准,用MCMC迭代计算该标准.模拟计算表明我们的模型具有较好的识别能力.     

基于因子隐马尔可夫模型的VaR与ES联合预测

VaR和ES是衡量金融资产风险的重要测度,对风险控制和金融危机的识别具有重要意义。本文以CAViaR模型为基础,通过因子隐马尔可夫模型构造潜变量,作为CAViaR模型的回归系数的组成部分,最终提出了一个含潜变量的VaR和ES联合估计方法(FHM-CAViaR),实现了VaR和ES的联合预测。在该模型中,潜变量由一个因子隐马尔可夫模型驱动,可以刻画市场信息对模型系数带来的长期效应与短期冲击,该因子隐马尔可夫模型的引入实现了分位数回归模型参数在上百个状态间的转换。最后,基于本文提出的FHM-CAViaR模型分别对上证综指、深证综指和纳斯达克指数的对数收益率数据进行实证分析。实证结果表明,本文提出的模型具有更优的预测效果。此外实证结果还表明,在危机期间VaR的序列聚集性有着显著的增加。本文提出的模型可以通过潜变量的变化识别市场的机制变换,且能更精确地对金融资产的VaR以及ES进行估计,给出金融风险度量一种新的研究方法。     

基于稳健判别方法的基因剪切位点识别

基因识别是生物信息学研究的一个分支.多元统计中的判别分析方法模型简单、便于解释,处理剪切位点的识别问题效果良好,但极易受到异常值的影响.对于传统判别分析方法,使用稳健统计量进行优化,得到较好的效果,并通过加权方法进一步提高了判别分析方法的稳健性,取得了更好的识别效果.加权稳健判别分析方法稳健性高、受离群值影响小,对其他分类判别问题具有很好的实际意义和参考价值.     

Arbres de Markov couplePairwise Markov trees

The Hidden Markov Chain (HMC) models are widely applied in various problems. This succes is mainly due to the fact that the hidden model distribution conditional on observations remains a Markov chain distribution, and thus different processings, like Bayesian restorations, are handleable. These models have been recetly generalized to “Pairwise” Markov chains, which admit the same processing power and a better modeling one. The aim of this Note is to show that the Hidden Markov trees, which can be seen as extensions of the HMC models, can also be generalized to “Pairwise” Markov trees, which present the same processing advantages and better modelling power. To cite this article: W. Pieczynski, C. R. Acad. Sci. Paris, Ser. I 335 (2002) 79–82.     

Classroom note: Building simple hidden Markov models

Hidden Markov models (HMMs) are widely used in bioinformatics, speech recognition and many other areas. This note presents HMMs via the framework of classical Markov chain models. A simple example is given to illustrate the model. An estimation method for the transition probabilities of the hidden states is also discussed.     

可列非齐次隐Markov模型的强大数定律

隐马尔科夫模型被广泛的应用于弱相依随机变量的建模,是研究神经生理学、发音过程和生物遗传等问题的有力工具。研究了可列非齐次隐 Markov 模型的若干性质,得到了这类模型的强大数定律,推广了有限非齐次马氏链的一类强大数定律。     

改进的带驻留时间隐Markov模型的前向-后向算法

对隐Maxkov模型(hidden Markov model:HMM)的状态驻留时间的概率进行了修订,给出了改进的带驻留时间隐Markov模型的结构,并在传统的隐Markov模型(traditional hidden Markov model:THMM)的基础上讨论了新模型的前向.后向变量,导出了新模型的前向-后向算法的迭代公式,同时也给出了新模型各个参数的重估公式.     

Bayesian Monte Carlo estimation for profile hidden Markov models

Hidden Markov models are used as tools for pattern recognition in a number of areas, ranging from speech processing to biological sequence analysis. Profile hidden Markov models represent a class of so-called “left–right” models that have an architecture that is specifically relevant to classification of proteins into structural families based on their amino acid sequences. Standard learning methods for such models employ a variety of heuristics applied to the expectation-maximization implementation of the maximum likelihood estimation procedure in order to find the global maximum of the likelihood function. Here, we compare maximum likelihood estimation to fully Bayesian estimation of parameters for profile hidden Markov models with a small number of parameters. We find that, relative to maximum likelihood methods, Bayesian methods assign higher scores to data sequences that are distantly related to the pattern consensus, show better performance in classifying these sequences correctly, and continue to perform robustly with regard to misspecification of the number of model parameters. Though our study is limited in scope, we expect our results to remain relevant for models with a large number of parameters and other types of left–right hidden Markov models.     

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??Hidden Markov model is widely used in statistical modeling of time, space and state transition data. The definition of hidden Markov multivariate normal distribution is given. The principle of using cluster analysis to determine the hidden state of observed variables is introduced. The maximum likelihood estimator of the unknown parameters in the model is derived. The simulated observation data set is used to test the estimation effect and stability of the method. The characteristic is simple classical statistical inference such as cluster analysis and maximum likelihood estimation. The method solves the parameter estimation problem of complex statistical models.     

Maximum Likelihood Estimation of Hidden Markov Multivariate Normal Distribution Parameters

Hidden Markov model is widely used in statistical modeling of time, space and state transition data. The definition of hidden Markov multivariate normal distribution is given. The principle of using cluster analysis to determine the hidden state of observed variables is introduced. The maximum likelihood estimator of the unknown parameters in the model is derived. The simulated observation data set is used to test the estimation effect and stability of the method. The characteristic is simple classical statistical inference such as cluster analysis and maximum likelihood estimation. The method solves the parameter estimation problem of complex statistical models.     

An S-Plus Implementation of Hidden Markov Models in Continuous Time

Abstract

Hidden Markov models (HMM) can be applied to the study of time varying unobserved categorical variables for which only indirect measurements are available. An S-Plus module to fit HMMs in continuous time to this type of longitudinal data is presented. Covariates affecting the transition intensities of the hidden Markov process or the conditional distribution of the measured response (given the hidden states of the process) are handled under a generalized regression framework. Users can provide C subroutines specifying the parameterization of the model to adapt the software to a wide variety of data types. HMM analysis using the S-Plus module is illustrated on a dataset from a prospective study of human papillomavirus infection in young women and on simulated data.     

Copules gaussiennes dans les chaînes triplet partiellement de Markov

Hidden Markov chains, which are widely used in different data restoration problems, have recently been generalised to pairwise partially Markov chains, in which the hidden chain is no longer necessarily Markovian and the distribution of the observed chain, conditional on the hidden one, is of any form. First, we show the applicability of the models in the Gaussian case, with a particular attention to long range correlation noises. Second, we show that the use of copulas allows one to take into account any other form of marginal distributions of the observed chain, conditionally to the hidden one. We end by extending the latter model to a triplet partially Markov chain case. To cite this article: W. Pieczynski, C. R. Acad. Sci. Paris, Ser. I 341 (2005).     

Strategic Asset Allocation Under a Fractional Hidden Markov Model

Strategic asset allocation is discussed in a discrete-time economy, where the rates of return from asset classes are explained in terms of some observable and hidden factors. We extend the existing models by incorporating long-term memory in the rates of return and observable economic factors, which have been documented in the empirical literature. Hidden factors are described by a discrete-time, finite-state, hidden Markov chain noisily observed in a fractional Gaussian process. The strategic asset allocation problem is discussed in a mean-variance utility framework. Filtering and parameter estimation are also considered in the hybrid model.