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Hidden Markov Models

This chapter discusses Hidden Markov Models (HMMs), which are state space models in which the latent state \(z_t \in \{1,\ldots,K\}\) is discrete.

• HMM filtering (forwards algorithm)
• HMM smoothing (forwards-backwards algorithm)
• Viterbi algorithm
• Parallel HMM smoothing
• Forwards-filtering backwards-sampling algorithm

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