
Mixture Kalman Filters and Beyond 547
26.5 Beyond Mixture Kalman Filter in Practice
Note that the key to efficient Rao-Blackwellization is a (conditionally)
tractable substructure, which is not nec e ssarily limited to the conditionally
linear-Gaussian state-space model. In this section, we present some other ex-
isting Rao-B lackwellization a pproaches that are popular in practice.
26.5.1 Hierarchical conditionally finite HMM
Similar to the LGSS model, when the latent state evolves according to a finite
state Markov chain, the posterior of the state given the observations, can
be obtained in closed form us ing the hidden Markov model (HMM) forward
algorithm ...