On the Markov property of a finite hidden Markov chain (Q5937051)

The question of the conditions under which a hidden Markov chain itself exhibits Markovian behaviour is studied. The provided answer is based on two different approaches: 1) the authors use known results by Rubino and Sericola for deterministic functions of a Markov chain by considering a bivariate chain; 2) a method based on a recursive filtering formula for the underlying chain is proposed. The prediction problem is considered.