The following Matlab project contains the source code and Matlab examples used for em for hmm multivariate gaussian processes.
em_ghmm : Expectation-Maximization algorithm for a HMM with Multivariate Gaussian measurement
Usage
-------
[logl , PI , A , M , S] = em_ghmm(Z , PI0 , A0 , M0 , S0 , [options]);
Inputs
-------
Z Measurements (m x K x n1 x .

The source code and files included in this project are listed in the project files section, please make sure whether the listed source code meet your needs there.

## Project Files:

File Name | Size |
---|---|

em_ghmm.c | 27127 |

forward_backward.c | 14859 |

license.txt | 1309 |

likelihood_mvgm.c | 11952 |

mexme_em_ghmm.m | 160 |

ndellipse.c | 10593 |

sample_ghmm.c | 13248 |

test_em_ghmm.m | 3371 |