HMM- Time series classification

I would like an explanatory example on using HMM for Time series classification

[per isakson]

My Google search on "HMM for Time series classification" returned Hidden Markov models for time series classification — basic overview and more.

[KNourdine]

Thanks But what are the steps to follow to classify a daily/hourly time series knowing that we don't have idea about the different probabilities, when we can use 3 or 5 hiden states?