pymc3-hmm (conda): Fully implemented PyMC3 Distribution classes for HMM state sequences (DiscreteMarkovChain) and mixtures that are driven by them (SwitchingProcess). A forward-filtering backward-sampling (FFBS) implementation (FFBSStep) that works with NUTS—or any other PyMC3 sampler. A conjugate Dirichlet transition matrix sampler (TransMatConjugateStep). Support for time-varying transition matrices in the FFBS sampler and all the relevant Distribution classes.
Keywords: bayesian|ffbs|hmm|pymc3