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On this page
  • Markov Property
  • Markov Chain
  • Hidden Markov Model (HMM)
  1. Probability & Statistics

Markov

PreviousRegressionNextMonte Carlo

Last updated 4 years ago

Markov Property

The likelihood of a future state depends on present state only.

P(Xtāˆ£Xtāˆ’1,Xtāˆ’2,...,X1)=P(Xtāˆ£Xtāˆ’1)P(X_t|X_{t-1}, X_{t-2},...,X_1) = P(X_t|X_{t-1})P(Xtā€‹āˆ£Xtāˆ’1ā€‹,Xtāˆ’2ā€‹,...,X1ā€‹)=P(Xtā€‹āˆ£Xtāˆ’1ā€‹)

Markov Chain

A stochastic process with Markov property.

Hidden Markov Model (HMM)

The state is not directly visible, but output dependent on the state is visible.