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Multi-Variate Non-homogeneous Hidden Markov Model toolbox contains algorithms for modeling multivariate time series with hidden Markov models.  The software has been developed on a Linux platform and has been used on Linux, UNIX (Solaris), and MacOS X.  A quick-start manual provides basic information required to install and run the software.

Among the capabilities of the toolbox:
  • Estimation of the model parameters (EM) (both ML and MAP)
  • Computation of the most likely values of latent variables (Viterbi)
  • Computation of the log-likelihood
  • Simulation of the data given the parameters of the model
  • Model selection via cross-validation
Models implemented:
  • HMM
  • Non-homogeneous HMM
  • Mixture model
  • Non-homogeneous mixture model
Among the emission distribution types:
  • Conditionally independent variables or clusters of variables
  • Multinomial
  • Tree-dependent (Chow-Liu trees and conditional Chow-Liu forests)
  • Multivariate Gaussian


The software is distributed under BSD license.

Download (version dated 01/08/2007)

Please read and accept the licensing terms before downloading the software.


short manual contains a brief description of the software along with a few examples.  A full version of the manual will be available in the future.  README file contains the complete functionality of the toolbox.


The software is provided as is.  Unfortunately, at this time, I have no bandwidth to make modifications or to troubleshoot potential problems.