Message-ID: <1330331536660-4423946.post@n4.nabble.com>
Date: 2012-02-27T08:32:16Z
From: monkeylan
Subject: Bayesian Hidden Markov Models
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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