How many observations should you present to "hmmdecode" in order to get a reliable estimate of state?

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MathWorks Support Team 2014-8-21

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https://ww2.mathworks.cn/matlabcentral/answers/151822-how-many-observations-should-you-present-to-hmmdecode-in-order-to-get-a-reliable-estimate-of-state

编辑： MathWorks Support Team 2021-2-25

Assume that I present 9000(the past 9000 days) observations to "hmmestimate" and now have my estimated transmission and emission matrices. If I wanted to determine what state I am in today, how many observations I would pass to "hmmdecode"? Does it matter if I present the last 20( 20 days) observations to "hmmdecode" or if I just present the most recent observation(today)?

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Answer 1

MathWorks Support Team 2021-2-25

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编辑：MathWorks Support Team 2021-2-25

This is problem dependent, it depends on the transition matrix. Firstly, when using an HMM for prediction, it is enough to look at the forward probabilities (third output argument of "hmmdecode").

To understand the transient of the model one can plot the forward probability in the last time point versus different sequence lengths.Example:

tr = [0.95,0.05;       0.10,0.90];e = [1/6, 1/6, 1/6, 1/6, 1/6, 1/6;1/10, 1/10, 1/10, 1/10, 1/10, 1/2;]; obs = randi(6,[1,1000]); 
for i = 1:100[p,l,f,b] = hmmdecode(obs(end-i:end),tr,e);fp(:,i) = f(:,end);end
figureplot(fp')xlabel('Seq length')ylabel('\alpha_t_+_1')title('Forward probability vs Sequence Length')