“…The explicit modelling of dependencies between the state variables can increase estimation accuracy, may decrease state classification error and generally provide new opportunities for meaningful inference related to the correlation between processes. The potential of CHMMs has already been recognised in particular in engineering, where these models have been applied in various classification and signal processing tasks such as action recognition (Brand et al, 1997), audio-visual speech recognition (Nefian et al, 2002, bearing fault recognition (Zhou et al, 2016), and EEG, ECG and PCG classification (Michalopoulos and Bourbakis, 2014;Oliveira et al, 2002). Due to technological advances for example in animal tracking and in EHRs (as illustrated in Section 4), and generally the rapid growth in the amount of multi-stream data collected, we anticipate CHMMs to gain popularity also in other statistical modelling tasks such as forecasting or general inference on data-generating processes.…”