I am a Rhmm user but a newbie in R programming so I am turning around with writing predict functions based on the functions in RHmm package. The package built for HMM model. My questions are to write function P(X_{T+h}=x|X_1,X_2,...,X_T) and P(C_T=i|X_1,X_2,...,X_T) where X_T are observations and C_T are Markov chain in Hidden Markov Model.
Can anyone help?
Thank you very much!
Pavel Osinenko
I think this package has got what you need. http://cran.r-project.org/web/packages/HiddenMarkov/index.html. In general however, it depends on PDF-s.
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