I am looking for some simple Mathematica code to model an HMM with just a few states and an equal number of observable signals (emissions). I am hoping to generate sample paths and keep track of the posterior probability of the system being in a given state. Any help would be appreciated.
Thanks. I also found that there is a package with inbuilt functions, although super pricey, at http://scientificcomputing.blogspot.co.uk/2006/02/statistical-inference-package-for.html