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Currently HMM Estimator has been implemented (#2855) ! :) However there are some changes/improvements I plan to add. Will add and check things off as I get to them:
add Baum-Welch logic to _fit so that the parameters which are used in the Viterbi algorithm can be dynamically extracted from the data.
Expand support to multi-dimensional data (should be a simple extension!)
Move beyond the assumption of equal time spacing
Add support for partially observed data
For a "fitted" HMM add the option to "sample" from the model.
Write a wrapper for hmmlearn
write an example use case/notebook of how to use it
Look at implementing other statistical methods eg CRF
Currently HMM Estimator has been implemented (#2855) ! :) However there are some changes/improvements I plan to add. Will add and check things off as I get to them:
_fit
so that the parameters which are used in the Viterbi algorithm can be dynamically extracted from the data.FYI @lmmentel
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