Essentials of Pattern Recognition An Accessible Approach

HMM (hidden Markov model) is a key tool to handle sequences (time series data), but it is not the only one. We start this chapter with a very brief introduction to a few tools for such data, then devote the rest of this chapter to HMM. We first illustrate what the Markov property is and why it is so important, then naturally present HMM. Three basic problems are introduced in HMM: evaluation, decoding, and learning. Dynamic programming turns out to be the solution to the first two basic problems, and we also introduce Baum--Welch, an algorithm for learning HMM parameters.