Bayesian Structural Inference for Hidden Processes

ABSTRACT: We introduce a Bayesian approach to discovering patterns in structurally complex processes. The proposed method of Bayesian Structural Inference (BSI) relies on a set of candidate unifilar hidden Markov model (uHMM) topologies for inference of model structure from a data series. Here, we focus on a recently developed exact enumeration of topological ε-machines. (A sequel then removes the topological restriction.) This subset of the uHMM topologies has the added benefit that inferred models are guaranteed to be ε-machines, irrespective of the estimated transition probabilities. ε-Machines and uHMMs lead, in turn, to analytic expressions for estimating transition probabilities, inferring start states, and comparing the posterior probability of candidate topologies, despite process internal structure being only indirectly present in data. We demonstrate BSI's effectiveness in estimating a process's randomness, as reflected by the Shannon entropy rate, and its structure, as quantified by the statistical complexity. We also compare using (i) all candidate models and (ii) the single, maximum a posteriori model for point estimation and show that the former more accurately reflects uncertainty in estimated values. We apply BSI to in-class examples of finite- and infinite-order Markov processes, as well to an out-of-class, infinite-state hidden process.