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

hmmtrain

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);
[TRANS,EMIS] = hmmtrain(Y,TRGUESS,EMITGUESS);
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);
        end
    end
end
end
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?
thanks!
(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.
More
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);
Related Question