Parameter estimation and prediction for hidden Markov and semi-Markov models for data with multiple observation sequences. Suitable for equidistant time series data, with multivariate and/or missing data. Allows user defined emission distributions.
mhsmm: Parameter estimation and prediction for hidden Markov and semi-Markov models for data with multiple observation sequences Parameter estimation and prediction for hidden Markov and semi-Markov models for data with multiple observation sequences. Suitable for equidistant time series data, with multivariate and/or missing data. Author: Jared O'Connell, Søren Højsgaard CRAN page: http://cran.r-project.org/web/packages/mhsmm/index.html Journal of Statistical Software Publication: http://www.jstatsoft.org/v39/i04/paper