Fundamental limits for learning hidden Markov model parameters
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We study the frontier between learnable and unlearnable hidden Markov models (HMMs). HMMs are flexible tools for clustering dependent data coming from unknown populations. The model parameters are known to be identifiable as soon as the clusters are distinct and the hidden chain is ergodic with a full rank transition matrix. In the limit as any one of these conditions fails, it becomes impossible to identify parameters. For a chain with two hidden states we prove nonasymptotic minimax upper and lower bounds, matching up to constants, which exhibit thresholds at which the parameters become learnable.
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