Time delay estimation with hidden Markov models

摘要

Most traditional methods for extracting the relationships between two time series are based on cross-correlation. In a nonlinear non-stationary environment, these techniques are not sufficient. We show in this paper how to use hidden Markovmodels (HMMs) to identify the lag (or delay) between different variables for such data. Adopting an information-theoretic approach, we develop a procedure for training HMMs to maximise the mutual information (MMI) between delayed time series. The methodis used to model the oil drilling process. We show that cross-correlation gives no information and that the MMI approach outperforms maximum likelihood.