Is there any code out there that implements the baum-welch algorithm for a very basic problem? It would be very helpful to actually see the algorithm in action to better understand how it works.
I understand the forward and the backward procedures and already implemented them in R for a simple example. However, up to now, I haven't succeeded in implementing the baum-welch algorithm to actually estimate the parameters of a HMM. Numerical example to understand Expectation-Maximization helped me to grasp the logic of EM. However, I still do not fully understand how this translates to the baum-welch algorithm in a HMM.
Can anyone share native R code (without complex rcpp functions etc.) of a very basic version of the baum-welch algorithm in a simple HMM?
I think that there are many others who would profit from a working example of the algorithm. Something that makes the formulas come alive in a simple example.