hmm-lapack

Hidden Markov Models implemented using LAPACK 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.TrafficLight

• Math.HiddenMarkovModel.Example.SineWave

• Math.HiddenMarkovModel.Example.Circle

An alternative package without foreign calls is hmm.