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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>.
Package details |
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Author | Zekun (Jack) Xu, Ye Liu |
Maintainer | Zekun Xu <zekunxu@gmail.com> |
License | GPL |
Version | 1.0.7 |
Package repository | View on CRAN |
Installation |
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