Sequence Classification Using Third-Order Moments

Model-based classification of sequence data using a set of hidden Markov models is a well-known technique. The involved score function, which is often based on the class-conditional likelihood, can, however, be computationally demanding, especially for long data sequences. Inspired by recent theoretical advances in spectral learning of hidden Markov models, we propose a score function based on third-order moments. In particular, we propose to use the Kullback-Leibler divergence between theoretical and empirical third-order moments for classification of sequence data with discrete observations. The proposed method provides lower computational complexity at classification time than the usual likelihood-based methods. In order to demonstrate the properties of the proposed method, we perform classification of both simulated data and empirical data from a human activity recognition study.