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Is it possible to train Hidden Markov Model in R? I have a set of observations with its corresponding labels. And I need to train HMM in order to get the Markov parameters (i.e. the transition probabilities matrix, emission probabilities matrix and initial distribution). So, I can predict for the future observations.

In other words, I need the opposite of Forward_Backward Algorithm..

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Yes, you can. R is a good tool for simulation and statistical analysis. There are many nice packages available. You do not need to implement at all (of course you can), just learn to use them.

An example of using package.

An example of implementing HMM is here. Here DNA sequence is modeled using HMM.

Similar question is asked here as well.

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Luffy Cyliu
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