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We consider the Sequential Probability Ratio Test applied to Hidden MarkovModels. Given two Hidden Markov Models and a sequence of observations generatedby one of them, the Sequential Probability Ratio Test attempts to decide whichmodel produced the sequence. We show relationships between the execution timeof such an algorithm and Lyapunov exponents of random matrix systems. Further,we give complexity results about the execution time taken by the SequentialProbability Ratio Test.

On the Sequential Probability Ratio Test in Hidden Markov Models