Issue title: Train an IOHMM with independent chains
 Issue body: I want to train an IOHMM with different independent sequences and I don't know how to specify them on the only one input panda data frame. Can you explain to me the fields corr and prev briefly and how to use them, please?

 Comments: 
 Comment 0: I have similar question. Would really appreciate on more description on usage of the model with multiple sequences and how to specify covariates_initial, covariates_transition. Thank you
 Comment 1: Can you explain what do you mean by "different independent sequences"? Are they supposed to share the same initial / transition / emission model? If no, you should just train each sequence individually. If yes, you can do the following:

In the example notebook, when we set the data, we use SHMM.set_data([speed]). This model can take a list of data frames with each data frame representing a sequence. So you will end up with having something like:  SHMM.set_data([df1, df2, df3]).

Since these sequence should share the same initial / transition / emission model, you will specify them as if there were just one sequence.
{'source': 'GithubIssues', 'repo_name_with_owner': 'Mogeng/IOHMM', 'issue_id': 629973664, 'repo_stars': 126.0}