Yes NSF and NIH NITRC Sparse Hidden Markov Model matlab codes for sparse hidden Markov model for sparse precision matrix estimation dependent toolbox includes: glasso toolbox: http://statweb.stanford.edu/~tibs/glasso/ mixture gaussain HMM toolbox: https://www.cs.ubc.ca/~murphyk/Software/HMM/hmm.html Ref: https://ieeexplore.ieee.org/document/8766884 2019-11-22 Sparse Hidden Markov Model Sparse Hidden Markov Model Computational Neuroscience, Imaging Genomics http://www.nitrc.org/projects/sphmm_2019/