Hidden Markov Process: A New Representation, Entropy Rate and Estimation Entropy


We consider a pair of correlated processes fZngn= 1 and fSngn= 1, where the former is observable and the later is hidden. The uncertainty in the estimation of Zn upon its finite past history Z 1 0 is H(ZnjZ 1 0 ), and for estimation of Sn upon this observation is H(SnjZ 1 0 ), which are both sequences of n. The limits of these sequences (and their existence… (More)


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