Markov Model and Derivatives

1. Markov Chain:

States in Markov Chain actually refers to "Events", a Markov Chain is essentially a event chain. However, the differences between a markov chain and a traditional event chain is that in markov chain, an event is not exclusively caused by another event, instead, events have influence on each other and a "current state" can transit from one event to another. At any given step in a markov chain, there is only one current "State" exist.

2. Hidden Markov Chain:

Given all the parameters in a markov chain and the current state observed, one want to obtain the probability distribution of the previous state (or even previous previous).

In simpler Markov models (like a Markov chain), the state is directly visible to the observer, and therefore the state transition probabilities are the only parameters. In ahidden Markov model, the state is not directly visible, but output, dependent on the state, is visible. Each state has a probability distribution over the possible output tokens. Therefore the sequence of tokens generated by an HMM gives some information about the sequence of states. Note that the adjective 'hidden' refers to the state sequence through which the model passes, not to the parameters of the model; the model is still referred to as a 'hidden' Markov model even if these parameters are known exactly