Hello,
I am working on Discrete HMM. I have 1000 observations (2 observed states and 3 hidden states). My model parameters are initialized using rand generators. I use HMMVITERBI method to get the most likely hood hidden states. So i wl be having 1000 observed states and 1000 hidden states. And then I use HMMESTIMATE to train the model and get the appropriate transition and emission matrix. After getting that, I predict the next Hidden state from the new transition matrix (applying argmax) and also next observed state,
Now I do this prediction for next N number of days. My question is once I predict the next observation and next hidden state, I iterate back to HMMTRAIN with 1001 observation and again calculate new transition and emission matrix ..then again predict the next states.. now in this process, there is no significant change in the transition matrix across iteration. (coz adding one extra value is not making a big change). Coz of that I am getting the same output state for the whole N days..
Please help.. AM i missing something ?
