To understand an HMM:
Start with a MM with two states.
In state "A" we always observe "X"
in state "B" we always observe "Y".
That's a basic MM. Now lets change it to a HMM. Now,
in state "A" we observe "X" 90% of the time and "Y" 10% of the time, and
in state B we observe "Y" 90% of the time and "X" 10%.
The observations don't tell us exactly what state we're in. The state is "hidden." We still get a clue about the state, but there is some uncertainty.
Comments
To understand an HMM: Start with a MM with two states. In state "A" we always observe "X" in state "B" we always observe "Y". That's a basic MM. Now lets change it to a HMM. Now, in state "A" we observe "X" 90% of the time and "Y" 10% of the time, and in state B we observe "Y" 90% of the time and "X" 10%. The observations don't tell us exactly what state we're in. The state is "hidden." We still get a clue about the state, but there is some uncertainty.
This is an excellent explanation, thanks!