[R] 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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