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>.
|Author||Bouchra R. Nasri and Bruno N. Remillard|
|Maintainer||Bouchra Nasri <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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