Figure 1.

Illustration of abrupt changes in $\overrightarrow{\mu }$. The bottom panel displays the z component of the unobservable state (orange solid line) and the noisily measured values ψ_z (grey circles). The top panel illustrates the inferred states s_i. In this trajectory, there are only two underlying states that differ in their $\overrightarrow{\mu }$ value; an abrupt change in $\overrightarrow{\mu }$ induced by a state change causes z to slowly drift towards a fixed point dictated by the (unobserved) $\overrightarrow{\mu }$ associated with the state (the magnitude of the drift or “mean reversion rate” depends on the distance of z for the fixed point).