Hidden Markov and other models for discrete-valued time series
This book describes a variety of hidden Markov models and points out where they arise and how to estimate parameters of the model. It also points out where they arise in a natural manner and how the models can be used in applications.
It is not supposed to be a mathematically rigorous treatment of the subject for which one should look elsewhere like the book by R.J.Elliott, L.Aggoun and J.B.Moore (1995): Hidden Markov Models: Estimation and Control. Springer-Verlag. It is easy to read. But it lacks depth to a certain extent and is not comprehensive enough to satisfy all types of needs.