1. A signal analyzer comprising a neural network of plural interconnected units with one or more inputs and outputs, and a unique weighting coefficient assigned to each connection to weight the signals flowing through, and comprising an input unit group to which are input the components of plural vectors included in the input feature vector series {y(t)}, an output unit group which outputs the converted vectors, which are converted by passing the components of input vectors to the input unit through each unit and associated connections, and the connections from the input unit group to the output unit group are grouped into a specific number of overlapping path groups, and each path group corresponds to the states or state transitions of a Markov chain.