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Hidden Markov Models, etc.
Markus Mayer
The general setup for HMM's
Notation
Max-likelihood inference and EM-Algorithm
Calculation of
and
: Sum-product derivation
Recursion for conditional distributions: The Baum-Welch Algorithm
Monte-Carlo approaches
Exact forward sampling
Alternative forward sampling
Backward sampling
EM-Algorithm
Feasible HMM's
Discrete HMM
Simple Gaussian HMM
Autoregressive observations: HMM-AR
Time-series cleaning: HMM-clean
Principal components: HMM-PCA
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Markus Mayer 2009-06-22
and 
: Sum-product derivation