A Doubly Hierarchical Dirichlet Process Hidden Markov Model with a Non-Ergodi…

Abstract—Nonparametric Bayesian models use a Bayesian framework to learn model complexity automatically from the data, eliminating the need for a complex model selection process. A Hierarchical Dirichlet Process Hidden Markov Model (HDPHMM) is the nonparametric Bayesian equivalent of a hidden Markov model (HMM), but is restricted to an ergodic topology that uses a Dirichlet Process Model to a…