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A hidden Markov model (HMM) is a statistical Markov model in which the system being modeled is assumed to be a Markov process with unobserved (hidden) states. A HMM can be presented as the simplest dynamic Bayesian network. The mathematics behind the HMM was developed by L. E. Baum and coworkers. It is closely related to an earlier work on the optimal nonlinear filtering problem by Ruslan L.
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