Is there any code out there that implements the baum-welch algorithm for a very basic problem? It would be very helpful to actually see the algorithm in action to better understand how it works.
I understand the forward and the backward procedures and already implemented them in R for a simple example. However, up to now, I haven't succeeded in implementing the baum-welch algorithm to actually estimate the parameters of a HMM. Numerical example to understand Expectation-Maximization helped me to grasp the logic of EM. However, I still do not fully understand how this translates to the baum-welch algorithm in a HMM.
Can anyone share native R code (without complex rcpp functions etc.) of a very basic version of the baum-welch algorithm in a simple HMM?
I think that there are many others who would profit from a working example of the algorithm. Something that makes the formulas come alive in a simple example.
Best Answer
Here is a DIY answer, with the building blocks provided:
You are probably aware R has an HMM package. One thing to highlight is that you can view all available functions in a package as shown on this link. And, the final piece of the puzzle: you can view function source code in R as follows.