r-depmix

Fits (multigroup) mixtures of latent or hidden Markov models on mixed categorical and continuous (timeseries) data. The 'Rdonlp2' package can optionally be used for optimization of the log-likelihood and is available from R-forge. See Visser et al. (2009, <DOI:10.1007/978-0-387-95922-1_13>) for examples and applications.