Python code for hidden markov models
Project description
HMM provides python3 code that implements the following algorithms for hidden Markov models:
- Forward: Recursive estimation of state probabilities at each time t,
given observation likelihoods for times 1 to t
- Backward: Combined with Forward, provides estimates of state
probabilities at each time given _all_ of the observation likelihoods
- Train: Implements Baum Welch algorithm which finds a local maximum of
likelihood of model parameters
- Decode: Implements Viterbi algorithm for finding the most probable
state sequence
Implementations of the above algrithms are independent of the observation model. HMM enables users to implement any observation model by writing code for a class that provides methods for calculating the likelihood of an observation given a state and for reestimating model parameters given observations and state likelihoods.
HMM includes implementations of the following observation models:
IntegerObservation: Integers in a finite range
Gauss: Floats with state dependent mean and variance
GaussMAP: Like Gauss but uses maximum a posteriori probability estimation
MultivariateGaussian: Like GaussMAP but observations are vectors of floats
AutoRegressive: Like GaussMAP but with linear autoregressive forecast and Gaussian residual
Observation_with_bundles: Observations that can include classification data
I (Andy Fraser) restarted this project on 2021-01-22. I will rewrite the code for my book “Hidden Markov Models and Dynamical Systems”. This project contains general HMM code that is not specific to the book.
You can redistribute and/or modify hmm under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version. See the file “License” in the root directory of the hmm distribution.
Project details
Release history Release notifications | RSS feed
Download files
Download the file for your platform. If you're not sure which to choose, learn more about installing packages.