I have a HMC for which the transition and observation matrices are time varying (and have some 0 elements). I would like to calculate the log-likelihood (for Bayesian inference). Which library should I use? I looked at a few of them, but they seemed to have a high-level interface for constant matri…

Step-by-step hidden Markov chain log-likelihood calculation

jmxpearson November 24, 2016, 2:14pm 4

Thanks for that. Fixed now.

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