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I've looked at hmmlearn but I'm not sure if it's the best one.

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SKLearn has an amazing array of HMM implementations, and because the library is very heavily used, odds are you can find tutorials and other StackOverflow comments about it, so definitely a good start.

http://scikit-learn.sourceforge.net/stable/modules/hmm.html

PS: Right now its outdated in June 2019

As of July 2019 you can use hmmlearn (pip3 install hmmlearn)

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    $\begingroup$ This answer is not correct. The sklearn hmm module has been removed with version 0.17.0 (current version is 0.19.0). It has been moved to the separate repository hmmlearn. This is written as the header of the page you link... $\endgroup$
    – Eskapp
    Oct 5, 2017 at 15:12

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