So I have a hidden markov model with two hidden states $z = a$ and $z = b$. My emission probabilities are given by:
$$ P\left( x_{n} \mid z = a \right) = \frac{\pi_{1}}{\pi_{1} + \pi_{2}} \mathcal{N}(x_{n} | \mu_{1} = 0.75, \sigma^{2}_{1}) + \frac{\pi_{2}}{\pi_{1} + \pi_{2}} \mathcal{N}(x_{n} | \mu_{2} = 10, \sigma^{2}_{2}) $$
$$ P\left( x_{n} \mid z = b \right) = \frac{\pi_{3}}{\pi_{3} + \pi_{4}} \mathcal{N}(x_{n} | \mu_{3} = 0.2, \sigma^{2}_{3}) + \frac{\pi_{4}}{\pi_{3} + \pi_{4}} \mathcal{N}(x_{n} | \mu_{4} = 18, \sigma^{2}_{4}) $$
So my hidden state space is:
$$ \mathcal{Z} = \left\{ \begin{bmatrix} 1 \\ 0 \end{bmatrix}, \begin{bmatrix} 0 \\ 1 \end{bmatrix} \right\} $$
Suppose that I know my transition probability matrix $\mathbf{A}$ and my initial probabilities $\pi_{z}$. I denote $\phi$ to be the parameters of the mixture distributions, which of course I know as well. My question is -- how do you actually run the $\alpha$, $\beta$, and $\mu$ recursions?
These recursions are given by: $$ \alpha\left( \mathbf{z}_{1} \right) = p(\mathbf{x}_{1} | \mathbf{z}_{1}, {\phi}) p( \mathbf{z}_{1}| {\pi}_{z}) \\ \alpha\left( \mathbf{z}_{n} \right) = \sum_{\mathbf{z_{n-1}}} p( \mathbf{x}_{n} | \mathbf{z}_{n}, {\phi}) p( \mathbf{z}_{n} | \mathbf{z}_{n-1}, \mathbf{A}) \alpha\left( \mathbf{z}_{n-1} \right) $$
$$ \beta(\mathbf{z}_{N}) = 1 \\ \beta\left( \mathbf{z}_{n} \right) = \sum_{\mathbf{z}_{n+1}} \beta\left( \mathbf{z}_{n+1} \right) p(\mathbf{x}_{n+1} | \mathbf{z}_{n+1}, {\phi}) p(\mathbf{z}_{n+1} | \mathbf{z}_{n}, \mathbf{A}) $$
$$ \mu(\mathbf{z}_{1}) = p(\mathbf{z}_{1} , \mathbf{x}_{1}) = p(\mathbf{x}_{1} | \mathbf{z}_{1}) p(\mathbf{z}_{1}) \\ \mu(\mathbf{z}_{n}) = \underset{\mathbf{z}_{n-1}}{\mathrm{maximize}} \; p(\mathbf{x}_{n}| \mathbf{z}_{n}) \cdot p(\mathbf{z}_{n}| \mathbf{z}_{n-1}) \; \cdot \; \mu(\mathbf{z}_{n-1}) $$
Question:
How can I compute these if I don't know the $\mathbf{z}_{n}$? I know the possible states $\mathbf{z}_{n}$ could be in, and all the probability distributions in those expressions, but how do I run these calculations without knowing the $\mathbf{z}_{n}$?