C# model definition for a hidden Markov model using Infer.NET. This code makes it easy to run approximate Bayesian inference over both the model parameters and states of a hidden Markov model.
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HiddenMarkovModel
packages
.gitignore
HiddenMarkovModel.sln
HiddenMarkovModel.suo
HiddenMarkovModel.v12.suo
README.md
bayes-hmm.png

README.md

infer-hmm: An Infer.NET implementation of the hidden Markov model

A hidden Markov model (HMM) is a statistical tool for modelling sequential processes. The model consists of a Markov chain of discrete unobserved variables, each of which emits an observed continuous variable. The probabilistic dependencies between each of the variables in the chain is governed by a set of model parameters. Below is a graphical model of an HMM: Bayesian HMM graphical model

This project provides a C# definition for a HMM using the Infer.NET framework. This code makes it easy to run approximate Bayesian inference over both the model parameters and states of a HMM.

Special thanks go to Microsoft Research for adding support for chain models, and to Matteo Venanzi for his expertise in increasing the efficiency of the model.

Requirements
  • .NET Framework 4.5

  • Infer.NET 2.6