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Are there any well-designed R packages or other open-source software for training Hidden Markov chains?

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There are several. For example, (with R) you could use the 'HiddenMarkov' package to train and find parameters for HMM models using common algorithms (e.g. Baum-Welch).

There was also a related thread on stack overflow, which was apparently closed:

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I would say that without context this question is likely to be voted to close as well. –  chl Oct 25 '12 at 21:52
    
I am interested in applying HMM for credit card-related fraud detection. Thanks. –  user785099 Oct 26 '12 at 2:24
    
I found two R-based packages: "HiddenMarkov" and "HMM". Are there any differences between them? –  user785099 Oct 26 '12 at 2:46
    
@user785099 Try both :) –  Stéphane Laurent Oct 26 '12 at 13:30

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