Streaming hidden Markov models

Introduction A classical method to tackle the problem of time-series regime detection and segmentation is the hidden Markov model (HMM). 1 At the core of the HMM are two sub-models: a model for latent regimes and a predictive model for observations (conditioned on a regime). In this post, we consider the problem of learning a parametric HMM when neither the regimes nor the model parameters are…