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An algorithm for finding the most probable sequence of latent variables in a directed graphical model, using dynamic programming.
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Predicting Trend using Hidden Markov Model
I am trying to predict exchange rates trend using Hidden Markov model (Viterbi Algorithm). For 2 state trending, I use A = [0.9 0.1; 0.1 0.9] as transition matrix and B = [1/N 1/N ....1/N; 1/N 1/N . …