I know that Hidden Markov Models are supported, but Hierarchical Hidden Markov Models (that are the one used in speech recognition and most other fields where people think HMMs are used) are not yet implemented, or at least I was not able to find them in the reference or in any Mathematica package. Does anyone know whether they will be supported in the future? What is interesting, is that there are no packages for HHMMs in Python and R also, the only implementation I am aware of HHMMs is for Matlab - click here.


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