HiddenMarkovProcess

HiddenMarkovProcess[i0, m, em] represents a discrete-time, finite-state hidden Markov process with transition matrix m, emission matrix em, and initial hidden state i0.

HiddenMarkovProcess[p0, m, ...] uses initial hidden state probability vector p0.

Examples

Simple HMM with 2 hidden states:

proc = HiddenMarkovProcess[{0.5, 0.5}, {{0.7, 0.3}, {0.4, 0.6}}, {{0.9, 0.1}, {0.2, 0.8}}];
RandomFunction[proc, {0, 10}]

Get the transition matrix:

MarkovProcessProperties[proc, "TransitionMatrix"]

Please visit the official Wolfram Language Reference for more details.