MATLAB: Hmmtrain.m with unknown state sequence (Baum-Welch)


I have a vector of observations Y. I do not know the state sequence of the latents. I wish to find the the transistion and emission matrices hence I want Baum-Welch.
My Min Working example is here:
T = 1000; % Number of timesteps
Y= 1000+cumsum(randn(T,1));
K = 200; %number of states
beta = 0.5;
TRGUESS = get_stateTransitionMatrix(K, beta); %flat start model
N = 2;
EMITGUESS = (1/N) .* ones(K,N);
function TRGUESS = get_stateTransitionMatrix(K, beta)
TRGUESS = beta.*eye(K,K);
for i=1:K
for j=1:K
if (TRGUESS(i,j)==0)
TRGUESS(i,j) = (1-beta)/(K-1);
On running this I get:
Error using hmmdecode (line 100)
SEQ must consist of integers between 1 and 1.
Error in hmmtrain (line 213)
[~,logPseq,fs,bs,scale] = hmmdecode(seq,guessTR,guessE);
I fear I have misunderstood the hmmtrain documentation. Can anyone help?
(using 2012A and all the toolboxes)

Best Answer

Y, your input for seqs (the first input) need to be integers ranging from 1:n that are the discrete values for training.
You can map back to the original values (whatever these integers happen to represent) later.
T=1000; % Number of timesteps
Y= 1000+cumsum(randn(T,1));
[uV,~,seqs] = unique(Y); %map unique values to their indices
seqs2 = rem(seqs,24)+1; %redefine as only 25 states
N = 5; %states
M = 25; %24+1
A = ones(N)/N;
B = ones(N,M)/M;
[TRANS,EMIS] = hmmtrain(seqs2',A,B);