Variational Bayesian Variable Selection for High-Dimensional Hidden Markov Models

The Hidden Markov Model (HMM) is a crucial probabilistic modeling technique for sequence data processing and statistical learning that has been extensively utilized in various engineering applications. Traditionally, the EM algorithm is employed to fit HMMs, but currently, academics and professionals exhibit augmenting enthusiasm in Bayesian inference. In the Bayesian context, Markov Chain Monte Carlo (MCMC) methods are commonly used for inferring HMMs, but they can be computationally demanding for high-dimensional covariate data. As a rapid substitute, variational approximation has become a noteworthy and effective approximate inference approach, particularly in recent years, for representation learning in deep generative models. However, there has been limited exploration of variational inference for HMMs with high-dimensional covariates. In this article, we develop a mean-field Variational Bayesian method with the double-exponential shrinkage prior to fit high-dimensional HMMs whose hidden states are of discrete types. The proposed method offers the advantage of fitting the model and investigating specific factors that impact the response variable changes simultaneously. In addition, since the proposed method is based on the Variational Bayesian framework, the proposed method can avoid huge memory and intensive computational cost typical of traditional Bayesian methods. In the simulation studies, we demonstrate that the proposed method can quickly and accurately estimate the posterior distributions of the parameters with good performance. We analyzed the Beijing Multi-Site Air-Quality data and predicted the PM2.5 values via the fitted HMMs.