Branch-and-bound method for calculating Viterbi path in triplet Markov models

Oskar Soop, Jüri Lember

We consider a bivariate, possibly non-homogeneous, finite-state Markov chain $(X,U)=\{(X_t,U_t){\}}_{t=1}^n$. We are interested in the marginal process $X$, which typically is not a…