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Given a heterogenous (discrete) Hidden markov model with hidden states, $x_1, \dots, x_n$ and observed states $o_1, \dots o_n$, known transition matrices $T_1, \dots, T_n$ and emission matrices $E_1, \dots, E_n$ and initial probability vector $I_1$, how can one simulate hidden state sequences from the distribution

$$ (x_1, \dots, x_n) | (o_1, \dots, o_n)?$$

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  • $\begingroup$ Check the forward-backward algorithm. $\endgroup$
    – Xi'an
    May 16, 2018 at 16:08
  • $\begingroup$ Hi @svendvn are you looking for a software package to do this or are you asking for an explanation on how the sequence simulation is carried out? $\endgroup$ May 24, 2018 at 7:38
  • $\begingroup$ Hi @ShaunWilkinson. I am looking for an explanation, not a software package $\endgroup$
    – svendvn
    May 24, 2018 at 10:08

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