Where can I find some usable implementation of Hidden Markov Models with multivariate observation sequences ?

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David B Keator

Hi,

Here's one for Matlab that I've used in the past: http://barzilouik.free.fr/cnam/DEA_STIC_opt_CONCEPT_APP_MULTIMED_2005/UV_PetitOral/ScrapBook/data/20050217202203/

If you have too few observations and too many hidden states, you can get singular matrices. Another reason might be a poor initialization. You can try a different initialization. You could also try adjusting the prior. If your matrix is singular then a different toolbox won't help...

Dave

Hao Wang

Thanks, David. I tried different initialization methods in RHmm, but still it didn't work. My observation sequences are sequences of vectors summing up to one. Do you think this is a problem?

Pedro Koob

Hi M. Wang,

I have the same problem as you, and I would like to know how did you solve yours.

Thanks in advance.