Hidden Markov Models and Dynamical Systems
Image of the book

In 2021, I returned to the task of rewriting the code for my book Hidden Markov Models and Dynamical Systems, which is available from SIAM. I have split the project into two parts each of which I host at GitLab. The hmm project comprises general code for hmms and other data assimilation techniques. It should be useful as stand alone code. The hmmds project comprises code specifically for the book. It is my goal that if you install hmm then clone hmmds and cd to its root directory, you can then type make and have the book built after some hours.
The new code will be superior to the code that I distributed here in the past. It is easier to read, use and extend. It's fast and has better documentation. However the new code does not exactly reproduce the results in the book. The differences are not due to errors, but are due to different code, libraries and random number generators.