Hidden Markov Models (HMMs) are learning methods for pattern recognition. The
probabilistic HMMs have been one of the most used techniques based on the
Bayesian model. First-order probabilistic HMMs were adapted to the theory of
belief functions such that Bayesian probabilities were replaced with mass
functions. In this paper, we present a second-order Hidden Markov Model using
belief functions. Previous works in belief HMMs have been focused on the
first-order HMMs. We extend them to the second-order model.