The term hidden state iis used when analyising a time series where some of the important aspects of the phenmenon being observed are not in the measured tiem series. For example, when observing the weather, we may know windspeeds and temepratures at ground level, but not at higher altitudes. In order to make predictions, this hidden state has to be modelled or inferred based on the observable values.
Defined on page 321
Used on Chap. 14: pages 320, 321, 326, 331, 340