Mastering Probabilistic Graphical Models Using Python

The Hidden Markov model

In the previous section, we discussed DBNs. In this section, we will discuss one particular variant of it, called the Hidden Markov model (HMM). Although named the Hidden Markov model, it is not a Markov network. Its etymology comes from the fact that the HMM satisfies the Markov property.

A Markov property basically indicates the memory-less property of a stochastic process, and any stochastic process satisfying this property is called as a Markov process. Let be a time-continuous process. Then, for every , time points with ...