A Predictive View on Streaming Hidden Markov Models

ArXi:2604.09208v1 Announce Type: cross We develop a predictive-first optimisation framework for streaming hidden Marko models. Unlike classical approaches that prioritise full posterior recovery under a fully specified generative model, we assume access to regime-specific predictive models whose parameters are learned online while maintaining a fixed transition prior over regimes. Our objective is to sequentially identify latent regimes while maintaining accurate step-ahead predictive distributions.