Hidden Markov Models using a Dirichlet Process

set.seed(2019) require(dirichletprocess) require(ggplot2) require(ggExtra) Introduction Using my dirichletprocess package I have implemented a hidden Markov model from “Dirichlet Process Hidden Markov Multiple Change-point Model” [1] . You can build a hidden Markov model using a Dirichlet process with the components from my dirichletprocess package. A Markov Model Given we have some data y_t with t=1,\ldots,n and some unobserved states s_t. We believe that the data is drawn from some distributi...

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