# Questions tagged [hidden-markov-model]

Hidden Markov Models are used for modelling systems that are assumed to be Markov processes with hidden (i.e. unobserved) states.

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### R MSM package: how to flag incident and prevalent disease?

I am trying to create a 2-state Markov model (state 1 to 2 and 2 to 1) with the msm package in R. hpv_state is 2 when infected, 1 when not infected, and 999 when ...
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### Latent state model - marginal likelihood

Which likelihood do I use to assess model-data-fit for latent space models like e.g. hidden markov models (HMM)? Let $X$ be the data, $\theta$ the model parameters and $Z$ be the latent variables. My ...
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### help me understand a part of the baum welch algorithm for hidden markov models

I am having troubles understanding a crucial part of the baum-welch algorithm in hidden markov models. When we calculate zhe/digamma representing the probability of being in state i at timestep t and ...
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### Could the likelihood increase monotonically in a misspecified EM algorithm?

I am dealing with the estimation of a Gaussian Hidden Markov Model with conditional distribution given the first-order Markov state $S_t = j,\ j=1,...,J$ $$Y_t|S_t=j\sim N(0,\sigma^2_j)$$ where the ...
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### Creating synthetic data for time series, Hidden Markov Model

Suppose that I have a task of classifying a time series. I decide to use Hidden Markov Model $\lambda(A, B, \pi)$, where $A$ is a transition matrix, $B$ is an emission probability, $\pi$ is an initial ...
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### Estimate the HMM parameters (2states), backward

I fitted a 2-states-HMM model last week, and generate a bunch of 1s and 0s, but I forgot to store its parameters (transition matrix). Now, I only got these 1s and 0s, how do I backward/reverse-...
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### Independence in Graphical model of $p(h_{1:T}|v_{1:T})$ of an HMM

I am studying Hidden Markov Models and I'm trying to understand the following exercise: Consider Hidden Markov Model with hidden states $h_{1:T} = \{h_1,...,h_T\}$ and observed states \$v_{1:T}=\{v_1,.....
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