Hidden Markov Model (HMM) Toolbox written by Kevin Murphy (1998).
See http://www.ai.mit.edu/~murphyk/Software/hmm.html for details.

Models
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dhmm = HMM with discrete output
mhmm = HMM with mixture of Gaussians output;
 Use mhmm with M=1 components to simulate an HMM with a single Gaussian output.

Demos
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mhmm_em_demo
dhmm_em_demo
dhmm_em_online_demo
fixed_lag_smoother_demo

References
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See "A tutorial on Hidden Markov Models and selected applications in speech recognition",
 L. Rabiner, 1989, Proc. IEEE 77(2):257--286.