### An HMM example

We now describe a simple problem that we will analyze using the HMM tools. Consider the HMM with the following parameters:

The output of the HMM is a time series with a 16-sample step size (i.e. the state is allowed to change every 16 output samples). The output is Gaussian with mean and variance depending on the state as follows:
 State Mean Var 1 0 1 2 0 4 3 2 1
For each 16-sample segment, the sample mean and standard deviation are computed. This constitutes a 2-dimensional feature vector that is the observation space of the HMM.

Baggenstoss 2017-05-19