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We register a random sequence which has three segments being the homogeneous Markov processes. Each segment has its own onestep transition probability law and the length of the segment is unknown and random. It means that at two random moments θ1, θ2, where 0 ≤ θ1≤ θ2, the source of observation is changed. In effect, the number of homogeneous segments is random. The transition probabilities of each...