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Hidden Markov Model

asked 2010-08-27 08:46:28 -0600

atfase gravatar image

Are there any plan to implement a Hidden Markov Model module that can handle vector observation timeseries?

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Did you review the following? http://www.sagemath.org/doc/reference/sage/stats/hmm/hmm.html Can you contrast a bit more? Not everyone has domain expertise in time-series.

ccanonc gravatar imageccanonc ( 2010-08-27 10:29:45 -0600 )edit

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answered 2010-08-28 02:08:47 -0600

William Stein gravatar image

No, I am aware of no such plans. I did all the HMM in Sage and don't currently plan to do vector valued time series.

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Thanks for your response, also thanks for the HMM that is implemented.

atfase gravatar imageatfase ( 2010-08-28 03:08:09 -0600 )edit

You are very welcome. It was a lot of work, but should be reasonable fast *and* memory efficient. Plus you can read all the code, since it's a complete implementation. May I ask what you're using HMM's for?

William Stein gravatar imageWilliam Stein ( 2010-08-28 14:43:46 -0600 )edit

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Asked: 2010-08-27 08:46:28 -0600

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Last updated: Aug 28 '10