Discrete-time finite-state Markov model

I'm working on some time series. My need is to substitute observations with multiple lines of trend (of variable length, related to the time series values). I have to do it by a program, because I have to work on a lot of time series.

I read something about the use of discrete-time finite-state Markov model to reach this objective ("Tutorial PM2 - Time series similarity measures" of Prof Gunopulus and Das, page 52-55).

Now I'm looking for a document that describes in detail the algorithm to be used, so I could translate it in a program.

So, what I'm exactly looking for is an algorithm for segmenting time series.

Could someone help me?

Thanks in advance.

Mario
.

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