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Bayesian Hidden Markov Models

monkeylan 
Dear R buddies,

Recently, I attempt to model the US/RMB Exchange rate log-return time series
with a *Hidden Markov model (first order Markov Chain & mixed Normal
distributions). *

I have applied the RHmm package to accomplish this task, but the results are
not so satisfying.
So, I would like to try a *Bayesian method *for the parameter estimation of
the Hidden Markov model.

Could anyone kindly tell me which R package can perform Bayesian estimation
of the model?

Many thanks for your help and time.

Best Regards,
James Allan 


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monkeylan Bayesian Hidden Markov Models Feb 27 Oscar Rueda Bayesian Hidden Markov Models Feb 27 monkeylan Bayesian Hidden Markov Models Feb 27 monkeylan Bayesian Hidden Markov Models Feb 27 Oscar Rueda Bayesian Hidden Markov Models Feb 28 monkeylan Bayesian Hidden Markov Models Feb 28 Oscar Rueda Bayesian Hidden Markov Models Feb 29