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A T u to r ia l o n H id d e n M a r k o v M o d e ls a n d
S e le c te d A p p lic a tio n s in S p e e c h R e c o g n itio n
LAW RENCE
R .
R A B IN E R ,
FELLO W ,
IE E E
A lth o u g h
in itia lly in tr o d u c e d a n d s tu d ie d in th e la te

1960s and e a rly 1 9 7 0 s , s ta tis tic a l m e th o d s o f M a r k o v s o u rc e o r h id d e n M a r k o v m o d e lin g

h a v e
becom e
in c r e a s in g ly
p o p u la r
i n
th e
la s t s e v e r a l

years. There are tw o strong reasons w hy this has occurred. First the m o d e ls a re v e ry ric h in m a th e m a tic a l s tru c tu re a n d h e n c e c a n fo rm th e th e o re tic a l b a s is fo r u s e in a w id e ra n g e o f a p p lic a tio n s . S e c - o n d th e m o d e ls , w h e n a p p lie d p ro p e rly , w o rk v e ry w e ll in p ra c tic e fo r s e v e ra l im p o rta n t a p p lic a tio n s . In th is p a p e r w e a tte m p tto c a re - fu lly a n d m e th o d ic a lly re v ie w

th e th e o re tic a l a s p e c ts o f th is ty p e
o f s ta tis tic a l m o d e lin g a n d s h o w
h o w
th e y h a v e b e e n a p p lie d
t o
s e le c te d p r o b le m s in m a c h in e r e c o g n itio n o f s p e e c h .
I.
IN T R O D U C T IO N

R e a l-w o rld p ro c e s s e s g e n e ra lly p ro d u c e o b s e rv a b le o u t- p u ts w h ic h c a n b e c h a r a c te r iz e d as s ig n a ls . T h e s ig n a ls c a n b e d is c re te in n a tu re (e .g .,c h a ra c te rs fro m a fin ite a lp h a b e t, q u a n tiz e d v e c to rs fr o m a c o d e b o o k , e tc .), o r c o n tin u o u s in n a tu re (e .g ., s p e e c h s a m p le s , te m p e ra tu re m e a s u re m e n ts , m u s ic , e tc .). T h e s ig n a l s o u r c e c a n b e s ta tio n a r y (i.e ., its s ta - tis tic a l p ro p e rtie s d o n o t v a ry w ith tim e ), o r n o n s ta tio n a ry (i.e ., t h e s ig n a l p r o p e r tie s v a ry o v e r tim e ) . T h e s ig n a ls c a n be p u re (i.e., c o m in g strictly fro m

a s in g le s o u rc e ), o r c a n
b e c o rru p te d fro m
o th e r s ig n a l s o u r c e s (e .g ., n o is e ) o r b y
tra n s m is s io n d is to rtio n s , re v e rb e ra tio n , e tc .
Ap r o b le m o f fu n d a m e n ta l in te re s ti s c h a ra c te riz in g s u c h

re a l-w o rld s ig n a ls in te rm s o f s ig n a l m o d e ls . T h e re a re se v- e ra l re a s o n s w h y o n ei s in te r e s te d in a p p ly in g s ig n a l m o d e ls . F irs t o fa ll,a s ig n a l m o d e l c a n p r o v id e th e b a s is fo r a th e - o r e tic a l d e s c r ip tio n o f a s ig n a l p r o c e s s in g s y s te m w h ic h c a n b e u s e d t o p ro c e s s th e s ig n a ls o as t o p ro v id e a d e s ire d o u t- p u t. F o r e x a m p le if w e a re in te re s te d in e n h a n c in g a s p e e c h s ig n a l c o r r u p te d b y n o is e a n d tra n s m is s io n d is to rtio n , w e c a n u s e th e s ig n a l m o d e l t o d e s ig n a s y s te m w h ic h w ill o p ti- m a lly r e m o v e th e n o is e a n d u n d o th e tra n s m is s io n d is to r- tio n .A s e c o n d re a s o n w h y s ig n a l m o d e ls a re im p o r ta n ti s th a t th e y a re p o te n tia lly c a p a b le o f le ttin gu s le a rn a g re a t d e a l a b o u t th e s ig n a l s o u rc e (i.e ., th e re a l-w o rld p ro c e s s w h ic h

p ro d u c e d th e
s ig n a l) w it h o u t h a v in g t o

h a v e th e s o u r c e a v a ila b le . T h is p r o p e r tyi s e s p e c ia lly im p o r ta n t w h e n th e c o s t o f g e ttin g s ig n a ls fro m

th e a c tu a l s o u rc ei s h ig h .
Manuscript received January15,1988;revised
O c to b e r 4 ,1 9 8 8 .
T h e a u th o ri sw ith A T & T B ell L a b o ra to rie s , M u rra y H ill,N J 0 7 9 7 4 -
IE E EL o g N um ber 8825949.
2070, U S A .
I n th is ca se , w ith a g o o d s ig n a l m o d e l, w e c a n s im u la te th e
s o u rc e
a n d
le a rn
a s
m uch
a s
p o s s ib le v ia
s im u la tio n s .

F in a lly , th e m o s t im p o r ta n t re a s o n w h y s ig n a l m o d e ls a re im p o rta n ti s th a t th e y o fte n w o rk e x tre m e ly w e ll in p ra c tic e , a n d e n a b leu s t o r e a liz e im p o r t a n t p r a c tic a l s y s te m s -e .g ., p re d ic tio n syste m s, re c o g n itio n syste m s, id e n tific a tio n sys- te m s , e tc ., ina v e ry e ffic ie n t m a n n e r .

T h e s e a re s e v e ra l p o s s ib le c h o ic e s fo r w h a t ty p e o f s ig n a l m o d e li s u s e d fo r c h a ra c te riz in g th e p ro p e rtie s o f a g iv e n s ig n a l. B r o a d ly o n e c a n d ic h o to m iz e th e ty p e so f s ig n a l m o d e ls in t o th e c la s s o f d e te rm in is tic m o d e ls , a n d th e c la s s o f s ta tis tic a l m o d e ls . D e te r m in is tic m o d e ls g e n e r a lly e x p lo it s o m e k n o w n s p e c ific p ro p e rtie s o f th e s ig n a l, e .g ., th a t th e s ig n a li sa s in e w a v e , o r a s u mo f e x p o n e n tia ls , e tc . I n th e s e c a s e s , s p e c ific a tio n o f t h e s ig n a l m o d e li s g e n e ra lly s tra ig h t- fo rw a rd ;a ll th a ti s re q u ire d is to d e te rm in e (e s tim a te )v a lu e s o f th e p a ra m e te rso f th e s ig n a l m o d e l (e .g ., a m p litu d e , fre - q u e n c y , p h a s e o f a s in e w a v e , a m p litu d e s a n d ra te s o f e x p o - n e n tia ls , e tc .). T h e s e c o n d b r o a d c la s s o f s ig n a l m o d e lsi s th e s e to f s ta tis tic a l m o d e ls in w h ic h o n e trie s t o c h a ra c - te riz e o n ly th e s ta tis tic a l p ro p e rtie s o f th e s ig n a l. E x a m p le s o f s u c h s ta tis tic a l m o d e ls in c lu d e G a u s s ia n p ro c e s s e s , P o is - son processes,M arkov processes,and hidden M arkov pro- ce sse s, a m o n g o th e rs . T h e u n d e rly in g a s s u m p tio n o f th e s ta tis tic a l m o d e li s th a t th e s ig n a l c a n b e w e ll c h a ra c te riz e d

a sap a ra m e tric ra n d o m p ro c e s s , a n d th a t th e p a ra m e te rs
o f th e s to c h a s tic p ro c e s s c a n b e d e te rm in e d (e s tim a te d ) in
a p re c is e , w e ll- d e fin e d m a n n e r .

F o r th e a p p lic a tio n s o f in te re s t, n a m e ly s p e e c h p ro c e s s - in g , b o t h d e te r m in is tic a n d s to c h a s tic s ig n a l m o d e ls h a v e had good success. In this paperwe w ill concern ourselves s tr ic tly w ith o n e ty p e o f s to c h a s tic s ig n a l m o d e l, n a m e ly th e h id d e n M a rk o v m o d e l (H M M ). (T h e s e m o d e ls a re re fe rre d t oa s M a rk o v s o u rc e s o r p ro b a b ilis tic fu n c tio n s o f M a r k o v c h a in s

i n
th e
c o m m u n ic a tio n s
lite ra tu re .) W e

w ill first re v ie w th e th e o ry o f M a rk o v c h a in s a n d th e n e x te n d th e id e a s t o th e c la s s o f h id d e n M a r k o v m o d e ls u s in g s e v e ra l s im p le e x a m p le s . W e w ill th e n fo c u s o u r a tte n tio n o n th e th re e fu n d a m e n ta l p ro b le m s ' fo r H M M d e s ig n , n a m e ly : th e

'T h e id e a o f c h a ra c te riz in g
t h e th e o re tic a l
a s p e c ts o f
h id d e n
M a rk o v m o d e lin g in te rm s of s o lv in g th r e e fu n d a m e n ta l p ro b le m s
i s d u e t o J a c k F e rg u s o n o f ID A (In s titu te fo r D e fe n s e A n a ly s is ) w h o
in tro d u c e d
it in
le c tu re s a n d w r itin g .
0018-9219/89/02000257$01.00
01 9 8 9 IE E E
P R O C E E D IN G S O F
TH E
IE E E ,V O L .
7 7 ,N O .2 , FEBRUARY1 9 8 9
2 5 7

e v a lu a tio n o f th e p r o b a b ility (o r lik e lih o o d ) o fa s e q u e n c e o f o b s e rv a tio n s g iv e n a s p e c ific H M M ; th e d e te r m in a tio n o fa b e s t s e q u e n c e o f m o d e l s ta te s ; a n d t h e a d ju s tm e n t o f m o d e l p a ra m e te rss o as t o b e s t a c c o u n t fo r th e o b s e rv e d s ig n a l. W e w ill s h o w th a t o n c e th e s e th re e fu n d a m e n ta l p r o b le m s a re s o lv e d , w e c a n a p p ly H M M s t o s e le c te d p r o b - le m s i n s p e e c h r e c o g n itio n .

N e ith e r th e th e o ry
o f h id d e n
M a rk o v

m o d e ls n o r its a p p lic a tio n s t o s p e e c h r e c o g n itio ni s n e w . T h e b a s ic th e o ry w a s p u b lis h e d ina s e rie s o f c la s s ic p a p e rs b y B a u m a n d h is c o lle a g u e s[ I ] - [ 5 ] i n t h e la te1 9 6 0 s a n d e a rly1 9 7 0 s a n d w a s im p le m e n te d fo r s p e e c h p r o c e s s in g a p p lic a tio n s b y B a k e r

161 a t C M U , a n d b y J e lin e k a n d h is c o lle a g u e s a t IB M [ 7 - [ 1 3 ]
i n
th e
1 9 7 0 s .
H o w e v e r, w id e s p re a d
u n d e rs ta n d in g
a n d

a p p lic a tio n o f th e th e o ry o f H M M s t o s p e e c h p ro c e s s in g h a s o c c u rre d o n ly w ith in th e p a s t s e v e ra l y e a rs . T h e re a re s e v e ra l re a s o n s w h y th is h a s b e e n th e c a s e . F irs t, th e b a s ic th e o ry o f h id d e n M a r k o v m o d e ls w a s p u b lis h e d in m a th - e m a tic a l jo u r n a ls w h ic h w e r e n o t g e n e r a lly re a d b y e n g i- neers w orking on problem s in speech processing.The sec- o n d re a s o n w a s th a t th e o r ig in a l a p p lic a tio n s o f th e th e o ry to speech processing did

n o t p r o v id e s u ffic ie n t tu to r ia l m a te ria l fo r m o s t re a d e rs t o u n d e rs ta n d th e th e o ry a n d to b e a b le t o a p p ly it t o th e ir o w n re s e a rc h .A sa re s u lt, s e v e ra l tu to ria l p a p e rs w e re w ritte n w h ic h

p ro v id e d
as u ffic ie n t
le v e l o f d e ta il fo ra n u m b e r o f re s e a rc h la b s to b e g in w o rk
u s in g H M M s in in d iv id u a l s p e e c h p r o c e s s in g a p p lic a tio n s
[1 4 ]-[1 9 ].T h is tu to ria li s in te n d e d t o p ro v id e a n o v e rv ie w
o f th e b a s ic th e o ry o f H M M s (a s o rig in a te d
by Baum and
h is c o lle a g u e s ) , p r o v id e
p ra c tic a l d e ta ils o n m e th o d s o f
im p le m e n ta tio n
o f th e th e o ry , a n d d e s c rib e a c o u p le
of
s e le c te d a p p lic a tio n s o f th e th e o ry t o d is tin c t p ro b le m s in
s p e e c h re c o g n itio n . T h e p a p e r c o m b in e s re s u lts fr o m
a

n u m b e r o f o r ig in a l s o u rc e s a n d h o p e fu lly p r o v id e sa s in g le s o u rc e fo r a c q u irin g th e b a c k g ro u n d re q u ire d to p u rs u e fu r th e r th is fa s c in a tin g a re a o f re s e a rc h .

T h e o r g a n i z a t i o n o f t h i s p a p e ri sa s f o l l o w s . I n S e c t i o n I1 w e re v ie w th e th e o ry o f d is c re te M a rk o v c h a in s a n d s h o w h o w th e c o n c e p t o f h id d e n s ta te s , w h e r e th e o b s e rv a tio n

i sap ro b a b ilis tic fu n c tio n o f th e s ta te , c a n b e u s e d e ffe c -

tiv e ly . W e illu s tra te th e th e o ry w ith tw o s im p le e x a m p le s , n a m e ly c o in - to s s in g , a n d t h e c la s s ic b a lls - in - u r n s s y s te m . I n S e c tio n I l l w e d is c u s s th e th re e fu n d a m e n ta l p ro b le m s o f H M M s , a n d g iv e s e v e ra l p r a c tic a l te c h n iq u e s fo r s o lv in g th e s e p ro b le m s . I n S e c tio n IV w e d is c u s s th e v a rio u s ty p e s o f H M M s th a t h a v e b e e n s tu d ie d in c lu d in g e rg o d ica s w e ll

a s le ft- r ig h t m o d e ls . I n th is s e c tio n w e a ls o d is c u s s th e v a r-

io u s m o d e l fe a tu re s in c lu d in g th e fo r m o f th e o b s e rv a tio n d e n s ity fu n c tio n , th e s ta te d u r a tio n d e n s ity , a n d th e o p ti- m iz a tio n c r ite r io n fo r c h o o s in g o p tim a l H M M

p a ra m e te r v a lu e s . I n S e c tio n V w e d is c u s s t h e is s u e s th a t a ris e i n im p le - m e n tin g

H M M s
in c lu d in g th e
to p ic s
o f
s c a lin g ,

in itia l p a ra m e te r e s tim a te s , m o d e l s iz e , m o d e l fo rm , m is s in g d a ta , a n d

m u ltip le o b s e rv a tio n
sequences. In
S e c tio n
V Iw e

d e s c rib e a n is o la te d w o r d s p e e c h re c o g n iz e r, im p le m e n te d w ith H M M id e a s , a n d s h o w h o w it p e rfo rm sa s c o m p a re d t o a lte r n a tiv e im p le m e n ta tio n s . I n S e c tio nV I1 w e e x te n d th e id e a s p re s e n te d in S e c tio n V I t o th e p ro b le m o f re c o g - n iz in g a s trin g o f s p o k e n w o r d s b a s e d o n c o n c a te n a tin g in d iv id u a l H M M s o f e a c h w o r d in th e v o c a b u la ry . I n S e c tio n

V lll w e b rie fly o u tlin e h o w th e id e a s o f H M M h a v e b e e n
a p p lie d t oa la rg e v o c a b u la ry s p e e c h re c o g n iz e r, a n d in S e c-
tio n
I X w e s u m m a riz e th e id e a s d is c u s s e d th ro u g h o u t th e
p a p e r.
11.
D IS C R E T E
M A R K O V
P R O C E S S E S ~
C o n s id e r a s y s te m w h ic h m a y b e d e s c rib e d a t a n y tim e
a s b e in g in o n e o fa s e t o fN d is tin c t s ta te s ,S 1 ,S zI. . .,S N ,
as illu s tra te d in F ig .1 (w h e reN=
5fo r s im p lic ity ) . A t re g -
F ig .1 .
AM a r k o v c h a in w it h5 s ta te s (la b e le dS , toS ,) w it h
s e le c te d s ta te tr a n s itio n s .

u la r ly s p a c e d d is c r e te tim e s , th e s y s te m u n d e r g o e s a c h a n g e o f s ta te ( p o s s ib ly b a c k t o t h e s a m e s ta te ) a c c o r d in g t oa s e t o f p r o b a b ilitie s a s s o c ia te d w it h th e s ta te . W e d e n o te th e tim e

in s ta n ts a s s o c ia te d w ith
s ta te c h a n g e s ast=
1 ,2 ,
. . .,a n d w e d e n o te th e a c tu a l s ta te a t tim et asq r.A fu ll

p r o b a b ilis tic d e s c r ip tio n o f th e a b o v e s y s te m w o u ld , in g e n - e ra l, r e q u ir e s p e c ific a tio n o f th e c u r r e n t s ta te (a t tim et ) ,a s w ella s a ll the predecessor states. For the specialcase of a d is c re te ,

firs t
o rd e r,
M a rk o v
c h a in ,
th is
p r o b a b ilis tic
d e s c r ip tio n
i stru n c a te d to ju s t th e c u rre n t a n d th e
p re -
d e c e s s o r s ta te , i.e .,
9 9 ,=
q q t-1
=
S I,
q t-2
=
S k r
. .. I
=
9 s :=
S & :
=SJ.
( 1)
F u rth e rm o re w e o n ly c o n s id e rth o s e p ro c e s s e s in w h ic h th e
rig h t-h a n d s id e o f (1 )i s in d e p e n d e n t o f tim e , th e re b y le a d -
in g t o th e se t o f s ta te tra n s itio n p ro b a b ilitie sa ,, o f th e fo rm
(2 )
w ith th e s ta te tr a n s itio n c o e ffic ie n ts h a v in g th e p ro p e rtie s
a ,,=
9 9 ,=
S ,(q ,-,
=
S ,],
1
5
i , j
5
N
a ,,2
0
C
a ,,=
I
N
/= 1
(3 a )
(3 b )
s in c e th e y o b e y s ta n d a rd s to c h a s tic c o n s tra in ts .

T h e a b o v e s to c h a s tic p ro c e s s c o u ld b e c a lle d a n o b s e r v - a b le M a rk o v m o d e l s in c e th e o u tp u t o f th e p ro c e s si s th e s e t o f s ta te s a t e a c h in s ta n t o f tim e , w h e r e e a c h s ta te c o r - r e s p o n d s t oa p h y s ic a l ( o b s e r v a b le )e v e n t.T o s e t id e a s , c o n - s id e ra s im p le 3 -s ta te M a r k o v m o d e l o f th e w e a th e r. W e a s s u m e th a t o n c e

a
d a y (e .g .,
a t n o o n ), th e w e a th e r
i s
'A
g o o d o v e r v i e wo f d i s c r e t e M a r k o v p r o c e s s e s is i n[2 0 ,c h .5 1 .
258
P R O C E E D IN G SO F
T H E
IE E E ,
VOL. 77,N O .2 ,
F E B R U A R Y
1 9 8 9
o b s e rv e d as b e in g o n e o f th e fo llo w in g :
S ta te1 : r a in o r ( s n o w )
S ta te 2: c lo u d y
S ta te3 :
s u n n y .
W e p o s tu la te th a t th e w e a th e r o n d a y t i s c h a ra c te riz e d b y
a s in g le o n e o f th e th re e s ta te s a b o v e , a n d th a t th e m a trix
Ao f s ta te tr a n s itio n p r o b a b ilitie si s
0.4
0 .3
0 .3
L O .1
0 .1
0.81

G iv e n th a t th e w e a th e r o n d a y 1( t= 1)i s s u n n y (s ta te3 ), w e c a n a sk th e q u e s tio n : W h a ti s th e p ro b a b ility (a c c o rd in g t o th e m o d e l) th a t th e w e a th e r fo r th e n e x t 7 d a y s w ill b e "s u n -s u n -ra in -ra in -s u n -c lo u d y -s u n

*
*
a " ?
S ta te d m o r e f o r -
m a lly , w e d e fin e th e o b s e rv a tio n s e q u e n c e0 as0=
{S 3 ,
S 3,S 3 ,S 1, S1,S 3 ,S z, S 3 } c o rre s p o n d in g t ot=1 , 2,. ..,8,
a n d w e w is h t o d e te rm in e th e p r o b a b ility o f0 , g iv e n th e
m o d e l. T h is p r o b a b ility c a n b e e x p re s s e d (a n d e v a lu a te d )
a s
P (0 IM o d e l)=R S ,,S 3 ,S 3 , S1, S1,S 3 ,S z, S 3 1 M o d e ll
=
S S 3 1.R S 3 lS 3 l
S S 3 lS 3 l
R S lIS 3 1
=
7r3
=1.(0.8)(0.8)(0.1)(0.4)(0.3)(0.1)(0.2)
=1 .5 3 6
X
a 3 3
*
a 3 3.a 3 1
*
a ll.a 1 3
.a 3 2
.a Z 3
w h e re w e u s e th e n o ta tio n
K ,
=
4 9 1=
S ;],
15
i5
N
(4)
t o d e n o te th e in itia l s ta te p ro b a b ilitie s .

A n o th e r in te re s tin g q u e s tio n w e c a n a sk (a n d a n s w e r u s in g th e m o d e l) is : G iv e n th a t th e m o d e li s i n a k n o w n s ta te , w h a ti s th e p r o b a b ility it s ta y s in th a t s ta te fo re x a c tly d d a y s ? T h is p r o b a b ility c a n b e e v a lu a te d as th e p r o b a b ility o f th e o b s e rv a tio n s e q u e n c e

0
=
{S i, S i, S i,.*
*
,S .
s
#
S ;},
1
2
3
d 'd k l
g iv e n th e m o d e l, w h ic h
i s
P (O IM o d e 1 , q l=
S ;)
=(a J d -'(l
-
a ;;)=p ,(d ).
(5 )

T h e q u a n tity p ;(d )i s th e (d is c re te ) p ro b a b ility d e n s ity fu n c - tio n o f d u r a tio n d i n s ta tei . T h is e x p o n e n tia l d u r a tio n d e n - s ityi s c h a ra c te ris tic o f th e s ta te d u r a tio n in a M a r k o v c h a in . B a s e d o n p i(d ), w e c a n re a d ily c a lc u la te th e e x p e c te d n u m - b e r o f o b s e rv a tio n s ( d u r a tio n ) ina s ta te , c o n d itio n e d o n s ta rtin g in th a t s ta te as

m
-d ;=
c
d p i(d )
d = l
(6 a )
m
(6 b )
1
=
c
d (a jJ d -'(1-
a ;,)= -.
d = l
1-
a i;
T h u s th e e x p e c te d n u m b e r o f c o n s e c u tiv e d a y s o f s u n n y
weather, according to the m odel,i s 140.2)=
5;fo r c lo u d y
i ti s2 .5 ; f o r r a i n i ti s 1 .6 7 .
A .
E x te n s io n to H id d e n M a r k o v M o d e ls

S o fa r w e h a v e c o n s id e r e d M a r k o v m o d e ls i n w h ic h e a c h s ta te c o r r e s p o n d e d t o a n o b s e r v a b le ( p h y s ic a l) e v e n t. T h is m o d e li s t o o r e s tr ic tiv e t o b e a p p lic a b le t o m a n y p r o b le m s o f in te re s t. I n th is s e c tio n w e e x te n d th e c o n c e p t o f M a r k o v m o d e ls t o in c lu d e th e ca se w h e re th e o b s e rv a tio ni sa p ro b - a b ilis tic

fu n c tio n
o f th e
s ta te -i.e .,
th e

r e s u ltin g m o d e l ( w h ic h is c a lle d a h id d e n M a r k o v m o d e l) is a d o u b ly e m b e d - d e d s to c h a s tic p ro c e s s w it h a n u n d e r ly in g s to c h a s tic p ro - c e s s th a ti s n o t o b s e r v a b le ( iti s h id d e n ) , b u t c a n o n ly b e o b s e rv e d th r o u g h a n o th e r s e t o f s to c h a s tic p ro c e s s e s th a t p ro d u c e th e s e q u e n c e o f o b s e rv a tio n s .T o fix id e a s , c o n - s id e r th e fo llo w in g

m o d e l o f s o m e s im p le c o in to s s in g
e x p e rim e n ts .

C o inT o s s M o d e ls : A s s u m e th e fo llo w in g s c e n a rio . Y o u a re in a ro o m w itha b a rrie r (e .g .,a c u rta in ) th ro u g h w h ic h y o u c a n n o t se e w h a ti s h a p p e n in g . O n th e o th e r s id eo f th e b a rrie ri s a n o th e r p e rs o n w h oi s p e rfo rm in g a c o in (o r m u l- tip le c o in ) to s s in g e x p e rim e n t. T h e o th e r p e rs o n w ill n o t te ll y o u a n y th in g a b o u t w h a t h ei s d o in g e x a c tly ; h e w ill o n ly te ll y o u th e re s u lt o f e a c h c o in flip . T h u sa s e q u e n c e o f h id - d e n c o in to s s in g e x p e rim e n tsi s p e rfo rm e d , w ith th e o b s e r- v a tio n s e q u e n c e c o n s is tin g o f a s e rie s o f h e a d s a n d ta ils ; e .g .,

a ty p ic a l o b s e rv a tio n s e q u e n c e w o u ld b e
0
=
O 1O 2O 3. . .O T
=xx 3 3 3 x
3 3x. . .x
w h e reX
s ta n d s fo r h e a d s a n d3 s ta n d s fo r ta ils .
G iv e n th e a b o v e s c e n a rio , th e p ro b le m o f in te re s ti s h o w
do we
b u ild a n
HM M
t o
e x p la in

(m o d e l) th e o b s e rv e d s e q u e n c e o f h e a d s a n d ta ils . T h e fir s t p r o b le m o n e fa c e si s d e c id in g w h a t th e s ta te s in th e m o d e l c o rre s p o n d to , a n d th e n d e c id in g h o w m a n y s ta te s s h o u ld b e in t h e m o d e l. O n e p o s s ib le c h o ic e w o u ld b e to a s s u m e th a to n ly a s in g leb ia s e d c o in w a s b e in g to s s e d . I n th is c a s e w e c o u ld m o d e l t h e s it- u a tio n w ith a 2 -s ta te m o d e l w h e r e e a c h s ta te c o rre s p o n d s t o a s id e o f th e c o in (i.e .,

h e a d s o r ta ils ) . T h is m o d e li s
d e p ic te d
i n
Fig. 2(a).3 In this case the

M a rk o v m o d e li s o b s e rv a b le , a n d th e o n ly is s u e fo r c o m p le te s p e c ific a tio n o f th e m o d e l w o u ld b e t o d e c id e o n th e b e s t v a lu e fo r th e b ia s (i.e ., th e p r o b a b ility o f, sa y, h e a d s ). In te re s tin g ly , a n e q u iv a le n t H M M t o th a t o f F ig . 2 (a ) w o u ld b ea d e g e n e ra te I-s ta te m o d e l, w h e re th e s ta te c o rre s p o n d s t o th e s in g le b ia s e d c o in , a n d th e u n k n o w n p a ra m e te ri s th e b ia s o f th e c o in .

A
s e c o n d fo rm
of H M M
fo r e x p la in in g
th e

o b s e rv e d s e q u e n c e o f c o in to s s o u tc o m ei s g iv e n in F ig . 2 (b ). I n th is case there are 2 states in the m odel and each state corre- s p o n d s t o a d iffe re n t, b ia s e d , c o in b e in g to s s e d . E a c h s ta te

i s c h a ra c te riz e d b y a p r o b a b ility d is tr ib u tio n o f h e a d s a n d
ta ils , a n d tra n s itio n s b e tw e e n s ta te s a re c h a ra c te riz e d b y a
s ta te
tra n s itio n
m a trix . T h e
p h y s ic a l m e c h a n is m
w h ic h

a c c o u n ts fo r h o w s ta te tr a n s itio n s a re s e le c te d c o u ld its e lf b ea s e t o f in d e p e n d e n t c o in to s s e s , o r s o m e o th e r p r o b - a b ilis tic e v e n t.

A
th ird
fo rm
o f
HM M
fo r
e x p la in in g
th e

o b s e rv e d s e q u e n c e o f c o in to s s o u tc o m e si s g iv e n i n F ig . 2 (c ). T h is m o d e l c o r r e s p o n d s t o u s in g3 b ia s e d c o in s , a n d c h o o s in g fr o m a m o n g th e th re e , b a s e d o n s o m e p ro b a b ilis tic e v e n t.

3 T h e m o d e lo fF ig . 2 (a )i s a m e m o ry le s s p ro c e s s a n d th u s
i sa
degenerate caseo f a M a r k o v m o d e l.
R A B IN E R : H I D D E N
M A R K O V
M O D E L S
259

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