OnlineHMM contains the source code of MATLAB routines implementing the online Expectation-Maximization algorithm for the 'Markov chain in noise' HMM. It is available on the Journal of Computational and Graphical Statistics web site as the supplementary material of
- O. Cappé. Online EM Algorithm for Hidden Markov Models. J. Comput. Graph. Statist., 20(3):728-749, September 2011.