R help - Feb 2012 - 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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Dear James, 
Although designed for the analysis of copy number CGH microarrays, RJaCGH
uses a Bayesian HMM model.

Cheers, 
Oscar


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
> 
> 
> --
> View this message in context:
>
http://r.789695.n4.nabble.com/Bayesian-Hidden-Markov-Models-tp4423946p4423946.
> html
> Sent from the R help mailing list archive at Nabble.com.
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide
http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
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 
England 




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