rarhsmm: Regularized Autoregressive Hidden Semi Markov Model

Fit Gaussian hidden Markov (or semi-Markov) models with / without autoregressive coefficients and with / without regularization. The fitting algorithm for the hidden Markov model is illustrated by Rabiner (1989) <doi:10.1109/5.18626>. The shrinkage estimation on the covariance matrices is based on the method by Ledoit et al. (2004) <doi:10.1016/S0047-259X(03)00096-4>. The shrinkage estimation on the autoregressive coefficients uses the elastic net shrinkage detailed in Zou et al. (2005) <doi:10.1111/j.1467-9868.2005.00503.x>.

Getting started

Package details

AuthorZekun (Jack) Xu, Ye Liu
MaintainerZekun Xu <[email protected]>
LicenseGPL
Version1.0.7
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("rarhsmm")

Try the rarhsmm package in your browser

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

rarhsmm documentation built on March 20, 2018, 5:04 p.m.