Advanced posterior analyses of hidden Markov models: finite Markov chain imbedding and hybrid decoding

Two major tasks in applications of hidden Markov models are to (i) com pute distributions of summary statistics of the hidden state sequence, and (ii) decode the hidden state sequence. We describe finite Markov chain imbedding (FMCI) and hybrid decoding to solve each of t hese two tasks. In the first part of our paper we use FMCI to compute posterior distributions o f summary statistics such as the number of visits to a hidden state, the total time spent in a hidden st ate, the dwell time in a hidden state, and the longest run length. We use simulations from the hidde n state sequence, conditional on the observed sequence, to establish the FMCI framework. In the second part of our paper we apply hybrid segmentation for improved decoding of a HMM. We demonstra te that hybrid decoding shows increased performance compared to Viterbi or Posterior decodin g (often also referred to as global or local decoding), and we introduce a novel procedure for choosing the tuning parameter in the hybrid procedure. Furthermore, we provide an alternative derivation of the hybrid loss function based on weighted geometric means. We demonstrate and apply FMCI and hyb rid decoding on various classical data sets, and supply accompanying code for reproducibility. Key words: Artemis analysis, decoding, finite Markov chain imbedding, hidden Mar kov model, hybrid decoding, pattern distributions.