A system, method and program storage device implementing a method for modeling a data generating process, wherein the modeling comprises observing a data sequence comprising irregularly sampled data, obtaining an observation sequence based on the observed data sequence, assigning a time index sequence to the data sequence, obtaining a hidden state sequence of the data sequence, and decoding the data sequence based on a combination of the time index sequence and the hidden state sequence to model the data sequence. The method further comprises assigning a probability distribution over time stamp values of the observation sequence, wherein the decoding comprises using a Hidden Markov Model. The method further comprises using an expectation maximization methodology to learn the Hidden Markov Model.