Computation of likelihood function using Proxy HMM
To implement (14.1), (14.2) bruteforce is obviously
impractical because of the combinatorial number of
state sequences , but we can use the proxy HMM to do it efficiently.
Note that each segmentation corresponds to a distinct
path through the proxy HMM state trellis, which has probability
given by equation (14) in [57].
If we had the likelihood functions of each basesegment of
the proxy HMM, the proxy likelihood function would be
where stands for ``p(r)oxy", and where
where
is the th base segment and
is the proxy HMM state at time step corresponding
to segmentation .
The wellknown HMM forward procedure [57]
calculates the total proxy likelihood function
efficiently using dynamic programming and without enumerating the
segmentations.
But the proxy log likelihood functions
are defined for a single base segment, whereas
the MRHMM segment loglikelihood functions
are defined for segments spanning base segments.
This problem is solved by writing
as a sum of equal parts:
,
where each part is assumed to apply to just one base segment,
so can be used in place of the proxy segment loglikelihood functions.
This substitution forces the proxy HMM forward procedure
to compute
for the the MRHMM.
This substitution can be more precicely written as

(14.3) 
where for segmentation , base segment time lies within
segment of length .
The classical forward procedure applied to the
proxy HMM then produces
.
Furthermore, by calculating the backward procedure
on the proxy HMM and combining with the forward procedure, we obtain
the gamma probability
, which is the
a posteriori probability
that the system is in proxy state at base segment
given all the available data.
This is illustrated in Figure 14.1 as the
filledin circles in the proxy state trellis.
These filledin circles correspond to when
has a high value.
In the gap between the two pulses, is a case
when probability is shared between more than one
candidate path. If we sum up all the gamma probabilities
for a given subclass, we get an indication of the
probability of each subclass (illustrated at very bottom
of Figure 14.1).
Baggenstoss
20170519