Patterns generated by a hidden process

Limitations of a Markov Process
Hidden Markov Models
Summary
Section 3 - Page 2
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  • P vector : contains the probability of the (hidden) model being in a particular hidden state at time t = 1.

  • state transition matrix : holding the probability of a hidden state given the previous hidden state.

  • confusion matrix : containing the probability of observing a particular observable state given that the hidden model is in a particular hidden state.

Thus a hidden Markov model is a standard Markov process augmented by a set of observable states, and some probabalistic relations between them and the hidden states.