I believe the `msm' package for R on CRAN has facility for HMM. I seem to
recall that one of Jim Lindsay's packages (on his web page:
http://popgen0146uns50.unimaas.nl/~jlindsey/rcode.html) also has HMM
facilities, but I'm not certain.
Andy
> From: Yingfu Xie
>
> 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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