DAVID , Étienne

In this paper, we consider a bivariate process (Xt, Yt) t∈Z which, conditionally on a signal (Wt) t∈Z , is a hidden Markov model whose transition and emission kernels depend on (Wt) t∈Z. The resulting process (Xt, Yt, Wt) t∈Z is referred to as an input-output hidden Markov model or hidden Markov model with external signals. We prove that this...