“…Hidden Markov models (HMM) are specific latent variable models where the completed model is directed by an unobserved Markov process S. When the state space of S is continuous, these models are usually called state space models such as in econometrics, in stochastic volatility models (Shephard and Pitt (1997), Hamilton (1989), Chib (1996)) or in signal processing (Hodgson (1999), Rabiner (1989)). HMM's also have a large ranging number of applications, when the state space of S is discrete : in Genetics as DNA sequence modeling (Rabiner (1989), Durbin et al (1998), Muri (1998)) and in medicine (Guihenneuc et al (2000), Kirby and Spiegelhalter (1994) In this paper we assume that we have N observations X = (X 1 , ..., X N ) and that conditionally on some vector S they are independent with distribution whose density with respect to Lebesgue measure is denoted f (X i |θ S , S), i = 1, ..., N .…”