Hidden Markov Models using HMatrix primitives.
Hidden Markov Models implemented using HMatrix data types and operations. http://en.wikipedia.org/wiki/Hidden_Markov_Model
It implements:
generation of samples of emission sequences,
computation of the likelihood of an observed sequence of emissions,
construction of most likely state sequence that produces an observed sequence of emissions,
supervised and unsupervised training of the model by Baum-Welch algorithm.
It supports any kind of emission distribution, where discrete and multivariate Gaussian distributions are implemented as examples.
For an introduction please refer to the examples:
Math.HiddenMarkovModel.Example.TrafficLightMath.HiddenMarkovModel.Example.SineWaveMath.HiddenMarkovModel.Example.Circle
An alternative package without foreign calls is hmm.