Mixed space coupled hidden Markov model
Hafssa Kroumbi, Abdelaziz Nasroallah · Monte Carlo Methods and Applications · 2025
Abstract A coupled Hidden Markov Model (cHMM) is a hidden Markov model whose hidden Markov chain is bi-dimensional. In this paper, we focus to solve the likelihood and the decoding problems of a cHMM whose state space is composed of a continuous part and a discrete part. We adapt Forward, Backward and Viterbi algorithms to be able to study such cHMMs problems. Basic numerical examples are considered to show the well functioning of the elaborated algorithms for our proposal.