AN EFFICIENT CALCULATION OF THE MOMENTS OF MATCHED AND MISMATCHED HIDDEN MARKOV-MODELS

Streit analysed the classification of an unknown hidden Markov model ( HMM) using a set of prescribed HMM's. He proposed a suboptimal test st atistic that can be approximated by certain moments for this classific ation. In this correspondence, the algorithm given by Streit to derive these moments is reformulated in a matrix algebra setting that gives a better insight into the algorithm, Also, an asymptotic analysis of t he algorithm is derived using the reformulation.