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.