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.
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