HMMCont: Hidden Markov Model for Continuous Observations Processes

The package includes the functions designed to analyse continuous observations processes with the Hidden Markov Model approach. They include Baum-Welch and Viterbi algorithms and additional visualisation functions. The observations are assumed to have Gaussian distribution and to be weakly stationary processes. The package was created for analyses of financial time series, but can also be applied to any continuous observations processes.

Package details

AuthorMikhail A. Beketov
MaintainerMikhail A. Beketov <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the HMMCont package in your browser

Any scripts or data that you put into this service are public.

HMMCont documentation built on May 1, 2019, 10:46 p.m.