Hello, all,
Does anybody know any function or package in S-plus or R for estimation of a
Hidden Markov Model(HMM)?
I have tried to write one by myself. First I compute the likelihood function
recursively, then use nlminb or optim to maximize it. However, my algorithm
suffers a serious underflow problem, i.e., the value of the likelihood of
the model at some stage of the algorithm is too small to be distinguishable
from zero. Simply multiplying by a large constant or taking algorithm
doesn't work. The scaling method introduced in the monograph by MacDonald
and Zucchini (Hidden Markov and Other Models for Discrete-Valued Time
Series) isn't satisfactory either. Any idea how can I improve it?
Thanks a lot in advance!
Regards,
Yingfu
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