Abstract
We illustrate the Efficient Forward Filtering Backward Smoothing (EFFBS) algorithm proposed by Khreich et al. (2010) for estimation of hidden Markov models. The algorithm is aimed at reducing the amount of memory required by the Baum-Welch recursions, while having the same complexity in terms of number of operations. In implementing the EFFBS algorithm we found a numerical problem that limits its applicability. We discuss this problem in detail, providing some possible explanations of the causes of the error, together with two illustrative examples.
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