Hidden Markov Model (HMM)
Before reading this post, make sure you are familiar with the EM Algorithm and decent among of knowledge of convex optimization. If not, please check out my previous post EM Algorithm convex optimization primal and dual problem Let’s get started! Conditional independence $A$ and $B$ are conditionally independent given $C$ if and only if, given knowledge that $C$ occurs, knowledge of whether $A$ occurs provides no information on the likelihood of $B$ occurring, and knowledge of whether $B$ occurs provides no information on the likelihood of $A$ occurring....