hmm

November 8, 2014

Contents
1 Rabiner Paper
1.1 Discrete Markove Chains and Hidden States . . . . .
1.2 The Three Fundamental Problems for HMM Design
1.3 Types of HMMs . . . . . . . . . . . . . . . . . . . . .
1.3.1 Ergodic . . . . . . . . . . . . . . . . . . . . .

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2 Mitzenmacher and Upfal

2.1 Classication of states . . . . . . . . . . . . . . . . . . . . . .
2.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

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Rabiner Paper

Hiden Markov Model A stochastic signal model (model in which signal

can be characterized as a parametric random process). HMMs are also
referred to as "Markov sources" or "probabilistic functions of Markov
chains"
Three Fundamental Problems in HMM Design 1. Evaluation :: The
evalution of the probability (or likelihood) of a sequence of observations given a specic HMM
2. Determination :: The determination of a best sequence of model
states given a sequence of observations. (Given a specication of
a HMM, and a sequence of observations, determine the sequence
of corresponding model states that most probably generated the
given sequence of observations)
3. Learning :: The adjustment of model parameters so as to best
account for the observed signal.
1

1.1 Discrete Markove Chains and Hidden States

According to a HMM, an observation at time t is the output of a
probabilistic function of the (hidden) state of the system at time t.
Discrete Markov Process - A system that can be described at any
time as being in one of the states S1 . . . , SN . At discrete, regularly
spaced time steps (indexed by t), the system transitions to another

state (possibly the same state it is already in) according to a state

transition probability function. Let qt {Si }N
i=1 denote the state of
the system at time t.

A rst order Markov Chain assumes that P [qt = Si | qt1 = x, qt2 =

y, . . .] = P [qt = Si | qt1 = x]. Hence the state transition probabilities
at time t are described by N N matrix P(t) where P (t)i,j = P [qt =
Sj |qt1 = Si ]

 Can consider systems where the transition probabilities are

stant over time, so P(t1 ) = P(t2 )t1 , t2

1.2 The Three Fundamental Problems for HMM Design

1.3 Types of HMMs
1.3.1 Ergodic

Mitzenmacher and Upfal

2.1 Classication of states

2.2

con-