It describes the probabilistic dependence between the latent state variable and the observed measurement.
State space model (SSM) refers to a class of probabilistic graphical model (Koller and Friedman, 2009) that describes the probabilistic dependence between the latent state variable and the observed measurement. The state or the measurement can be either continuous or discrete. The term “state space” originated in 1960s in the area of control engineering (Kalman, 1960). SSM provides a general framework for analyzing deterministic and stochastic dynamical systems that are measured or observed through a stochastic process. The SSM framework has been successfully applied in engineering, statistics, computer science and economics to solve a broad range of dynamical systems problems. Other terms used to describe SSMs are hidden Markov models (HMMs) (Rabiner, 1989) and latent process models. The most well studied SSM is the Kalman filter, which defines an optimal algorithm for inferring linear Gaussian systems. Source.
In control engineering, a state-space representation is a mathematical model of a physical system as a set of input, output and state variables related by first-order differential equations. "State space" refers to the space whose axes are the state variables. The state of the system can be represented as a vector within that space. Source.
