>>>>> "Eric" == Eric Zivot <ezivot@u.washington.edu>
>>>>> on Wed, 3 May 2006 08:00:47 -0700 writes:
Eric> You can estimate hidden markov models using the state
Eric> space functions in S+FinMetrics 2.0. The state space
Eric> functions allow Markov regime switching in the state
Eric> space system matrices. Estimation, filtering and
Eric> smoothing follows Kim's algorithm (see Kim and Nelson
Eric> State Space Models with Regime Switching, MIT Press).
Eric> ez
Alternatively, you upgrade to R,
where I quickly find three different R packages on CRAN (the
Comprehensive R Archive Network) that all have functions for
fitting HMMs :
Package Function
------- --------
hmm.discnp shmm(), sim.hmm()
klaR hmm.sop()
msm msm()
the latter stands for
'Multi-state Markov and hidden Markov models in continuous time'
I've not actively worked with any of these though.
Martin Maechler, ETH Zurich
>> From: s-news-owner@lists.biostat.wustl.edu
>> [mailto:s-news-owner@lists.biostat.wustl.edu] On
>> Behalf Of Juan Carlos Ruilova Teran Sent: Wednesday,
>> May 03, 2006 7:30 AM To: s-news@wubios.wustl.edu
>> Subject: [S] Hidden Markov Models
>> Dear All, I'm trying to find code to Hidden Markov
>> Models (Discrete Time and Continuous Time). Can
>> somebody help me with this? I'm a user of S-Plus 7.0
>> for Windows. Thanks Juan Carlos
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