Comapring hidden markov models

Question

Given a set of sequence transitions, there are different orders of hidden markov models that can be fitted to a dataset.

Is there any test to determine which is the best model for a given sequence set?
How to compare two HMM fitted on to a sequence set?

Erwan · Answer

Generally models can be compared by evaluating them. It depends on the specific application, for instance if the goal is to predict the next element(s) in a sequence then one can take a subset of the data as test set and see how accurately the model predicts the next element.

Answered by Erwan on March 28, 2021

Comapring hidden markov models

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