Hidden Markov Model (HMM) Toolbox for Matlab
Project Website: http://www.cs.ubc.ca/~murphyk/Software/HMM/hmm.html
Github Link: https://github.com/probml/pmtk3
This toolbox supports inference and learning for HMMs with discrete outputs (dhmm’s), Gaussian outputs (ghmm’s), or mixtures of Gaussians output (mhmm’s). The Gaussians can be full, diagonal, or spherical (isotropic). It also supports discrete inputs, as in a POMDP. The inference routines support filtering, smoothing, and fixed-lag smoothing.
For a more recent version of this toolkit, please see PMTK.