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I've been reading about hidden Markov models, and I'm interested in both discrete and continuous time models (and discrete states). I have found many papers on the discrete time HMM, but not the continuous time HMM. I really want to know how to to set up the model and estimate the parameters.

Does anyone know a good reference?

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The rabiner tutorial on HMMs is a must, first section covers discrete state space HMMs heavily, but he gets into continuous state space HMMs around page 10 or something:

Rabiner Tutorial

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