This project attempts to train a Continuous Density Hidden Markov Model (CD-HMM) for speech recognition, and is developed with Matlab software. This objective is reached using the Expectation-Maximization approach using the Baum-Welch equations. The training process uses two steps which are computing the Expectations (E-step) and Maximizing those expectations by re-estimation of the parameters (M-step). The methodology and results are discussed to provide a clear understanding of the motivations and limits of this project.