###

Multiple Records

It is fairly straight-forward to extend
the Baum-Welch algorithm to the case when
multiple observation sequences (``records") are available.
Rather than
, we have
.
For each record,
- Run the forward-backward procedure on
to produce
,
,

- Compute
,
as in (13.14).
- Compute
as in (13.15).

Then, we have

Updating the Gaussian mixture parameters
requires defining

which leads to
through (13.20).
We then have

and

... *et cetera*.

Baggenstoss
2017-05-19