Estimation of coupled hidden Markov models with application to biosignal interaction modelling

Coupled hidden Markov models (CHMM) are a new tool which model interactions in state space rather than observation space. Thus they may reveal coupling where classical tools such as correlation fail. We derive the maximum likelihood equations for the CHMM parameters using the expectation maximisation algorithm. The use of the models is demonstrated in simulated data, as well as in biomedical signal analysis.