Module hmm 

Hidden Markov Models (Hamilton 1989)

Source: Hamilton, J. D. (1989). “A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.” Econometrica, 57(2), 357-384.

Implementation of a regime-switching Hidden Markov Model with Gaussian emissions. Includes the Viterbi algorithm for online state decoding and placeholder for Baum-Welch training.

Structs

HMM

A Hidden Markov Model for regime detection.