title: How to fit multiple sequences with GMMHMM?
body: <p>I have a problem with the Python hmmlearn library. This is that I have several training sets and I would like to have one Gaussian mixture hmm model to fit them.</p>
  
  <p><a href="https://hmmlearn.readthedocs.io/en/latest/tutorial.html" rel="nofollow noreferrer">Here is an example working with multiple sequences.</a></p>
  
  <pre><code>X = np.concatenate([X1, X2])
  lengths = [len(X1), len(X2)]
  hmm.GaussianHMM(n_components=3).fit(X, lengths)  
  </code></pre>
  
  <p>When I change GaussianHMM to GMMHMM, it returns the following error:</p>
  
  <pre><code>hmm.GMMHMM(n_components=3).fit(X, lengths)
  
  Traceback (most recent call last):
    File "C:\Users\Cody\workspace\QuickSilver_HMT\hmm_list_sqlite.py", line 141, in hmm_list_pickle
      hmm.GMMHMM(n_components=3).fit(X, lengths)
    File "build\bdist.win32\egg\hmmlearn\hmm.py", line 998, in fit
      raise ValueError("'lengths' argument is not supported yet")
  ValueError: 'lengths' argument is not supported yet
  </code></pre>
  
  <p>How can one fit multiple sequences with GMMHMM?</p>