Using HIdden Markov Model for prediction

machine-learning scikit-learn prediction hidden-markov-models markov
maheshakya picture maheshakya · Sep 28, 2013 · Viewed 12k times · Source

Suppose there is a sequence of observations,e.g. [1,2,3,5,5,5,2,3,2,3, ..., 3, 4]. I am trying to use the current implementation of HMM in Scikit-learn to predict the next value of this observation sequence. I have 2 questions regarding this.

  1. Given a sequence of observations, how do I predict the next observation(as mentioned above)?

  2. Given many sequences of n observations and n+1 observations of those sequences, can HMM be used to predict the (n+1)th observation of a new sequence of n observations? If so how?

I couldn't grasp much about this from the documentation.

I found a likely duplicate, but it doesn't specify on how to use HMM in Scikit-learn to predict the next value in a sequence.

Answer

Fred Foo picture Fred Foo · Sep 29, 2013

HMMs are not a good fit for this problem. They're good at for predicting the labels (hidden states) of a fully observed sequence, not for completing a sequence. Try training a classifier or regression model on windows of observations, then use that for prediction. I.e. at training time give the model observations (i, ..., i + k) as features and observation i + k + 1 as the target, for all positions i in each of your given sequences. At test time, feed the last k observations as features.

Related questions

Accuracy Score ValueError: Can't Handle mix of binary and continuous target

I'm using linear_model.LinearRegression from scikit-learn as a predictive model. It works and it's perfect. I have a problem to evaluate the predicted results using the accuracy_score metric. This is my true Data : array([1, 1, 0, 0, 0, 0, 1, 1, 0, 0, 1, 1, 0, 0, 0, 0, 0]) My predicted Data: array([ 0.07094605, 0.1994941 , 0.19270157, 0.13379635, 0.04654469, 0.09212494, 0.19952108, 0.12884365, 0.15685076, …

Read More
How to get a classifier's confidence score for a prediction in sklearn?

I would like to get a confidence score of each of the predictions that it makes, showing on how sure the classifier is on its prediction that it is correct. I want something like this: How sure is the classifier …

Read More
Explain onehotencoder using python

I am new to scikit-learn library and have been trying to play with it for prediction of stock prices. I was going through its documentation and got stuck at the part where they explain OneHotEncoder(). Here is the code that …

Read More