HMM fundamentals
To understand what an HMM is, we need to introduce Markov processes.
A Markov process (or Markov chain) is a stochastic model that changes its status based on a predefined set of probabilities.
One of the assumptions of the Markov process prescribes that the probability distribution of future states depends exclusively on the current state.
Therefore, an HMM is a Markov process of which it is not possible to directly observe the state of the system: the only observable elements are the events and secondary effects associated with the state of the system; however, the probabilities of the events being determined by each state of the system are fixed.
Consequently, the observations on each state of the system are made ...
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