This book illustrates the wonderful flexibility of HMMs as general-purpose models for time series data. It presents an accessible overview of HMMs for analyzing time series data, from continuous-valued, circular, and multivariate series to binary data, bounded and unbounded counts, and categorical observations. It explores a variety of applications in animal behavior, finance, epidemiology, climatology, and sociology. The authors discuss how to employ the freely available computing environment R to carry out computations for parameter estimation, model selection and checking, decoding, and forecasting. They provide all of the data sets analyzed in the text online.