Hidden Markov model

A Hidden Markov model combines an unobserved Markov chain $Z_1,\dots ,Z_T$ with observations $O_1,\dots ,O_T$. Given the whole hidden-state path, the observations have conditional independence, and the conditional distribution of $O_t$ depends only on $Z_t$. The state-transition assumption and this emission assumption are separate parts of the model.^[ref]

For a time-homogeneous model with a finite hidden state space and discrete observations, write ${\pi }_i=P(Z_1=i)$, $a_{ij}=P(Z_{t+1}=j\mid Z_t=i)$ and $b_i(o)=P(O_t=o\mid Z_t=i)$ for the emission probabilities. The joint probability mass function factors asFor continuous observations, appropriate probability density functions replace the emission probability mass functions.

For example, a hidden state can describe whether a machine is working normally or has a fault, while a noisy sensor emits a positive or negative signal. Both states may emit a positive signal, with different probabilities; one observation therefore need not identify the state. Summing the factorization over hidden paths gives the observation likelihood. The forward algorithm reuses partial sums to compute it, and the backward algorithm helps infer hidden-state posterior probabilities. The observations alone need not satisfy the Markov property.