The brain imaging device, Electroencephalography (EEG) provides several advantages over other brain signals like Functional Near-infrared Spectroscopy (fNIRS) and Functional Magnetic Resonance Imaging (fMRI). It is non-invasive and easily applicable. EEG provides high temporal resolution with a low setup cost. EEG signals of several subjects which record electric potential caused by neurons firing in the brain are undergone a Hidden Markov Model (HMM) classification technique. We are particularly interested to detect the brain diseases from EEG signals by an HMM probabilistic model. This HMM model is built with a given initial probability matrix of five different states, namely, epilepsy, seizure, dementia, stroke and normality. The transition probability matrix is updated after each iteration of parameter estimation using Baum-Welch algorithm (B-W algorithm).