Continuous State HMM
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Continuous state HMMs are very popular in many fields that include control theory, signal processing, speech and image recognition, finance and many others. The application of a general continuous time HMM is much more difficult than of the discrete state HMM because it usually requires to compute multidimensional integrals rather than multiply matrices. There is one class of the continuous state HMM — hidden Gauss-Markov processes (HGMM) for which there are closed form expressions for the multidimensional integrals. This class has been studied intensively by many researchers who developed a rich theory related to the so-called state space linear systems. There are many textbooks and monographs devoted to this theory.
KeywordsKalman Filter Hide State ARMA Model Viterbi Algorithm Observation Sequence
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