Hi @pd123 could you link to a paper or two describing your model?
Here are some general answers:
- Pyro can model some combinations of DNN and HMM
- Pyro's HMM can have continuous-valued observation
- Pyro's HMM inference supports marginalized inference (sum-product), not viterbi inference (max-product). Marginalized inference is more accurate but restricts the class of DNN+HMM models that can be used.
- Pyro's HMM predictions currently do not provide access to the discrete latent states. We should be fixing this by the next Pyro release.