Ihmm are the MATLAB/OCTAVE functions that where used for some of the simulations featured in the book Inference in Hidden Markov Models (Cappé, Rydén and Moulines - Springer, 2005), in particular for Kalman smoothing and (particle) resampling.

Currently available code includes functions for implementing

• Kalman filtering and smoothing (with all three forms of smoothing: RTS, disturbance and Backward Information Recursion) for general (non-stationary) linear state-space models.
• Resampling in a matlab efficient way (for multinomial, stratified, systematic and residual resampling).