MVNHMM
Description
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
Software
The software is distributed under BSD license.
Download (version dated 01/08/2007)
Please read and accept the licensing terms before downloading the software.
Documentation
A 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.
Support
The software is provided as is. Unfortunately, at this time, I have no bandwidth to make modifications or to troubleshoot potential problems.