GaussianHMM1d
Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models
Inference, goodness-of-fit test, and prediction densities and intervals for univariate Gaussian Hidden Markov Models (HMM). The goodness-of-fit is based on a Cramer-von Mises statistic and uses parametric bootstrap to estimate the p-value. The description of the methodology is taken from Chapter 10.2 of Remillard (2013) doi:10.1201/b14285.
- Version1.1.1
- R version≥ 3.5.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?Yes
- Last release07/08/2023
Team
Bouchra R. Nasri
Bruno N Remillard
Show author detailsRolesAuthor, Contributor, Copyright holder
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- Depends2 packages