[R] Bayesian Hidden Markov Models

Oscar Rueda Oscar.Rueda at cancer.org.uk
Mon Feb 27 11:03:37 CET 2012

Dear James, 
Although designed for the analysis of copy number CGH microarrays, RJaCGH
uses a Bayesian HMM model.


On 27/2/12 08:32, "monkeylan" <lanjinchi at yahoo.com.cn> wrote:

> 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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Oscar M. Rueda, PhD.
Postdoctoral Research Fellow, Breast Cancer Functional Genomics.
Cancer Research UK Cambridge Research Institute.
Li Ka Shing Centre, Robinson Way.
Cambridge CB2 0RE 

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