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Fit Gaussian hidden Markov (or semiMarkov) 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/S0047259X(03)000964>. The shrinkage estimation on the autoregressive coefficients uses the elastic net shrinkage detailed in Zou et al. (2005) <doi:10.1111/j.14679868.2005.00503.x>.
Package details 


Author  Zekun (Jack) Xu, Ye Liu 
Maintainer  Zekun Xu <zekunxu@gmail.com> 
License  GPL 
Version  1.0.7 
Package repository  View on CRAN 
Installation 
Install the latest version of this package by entering the following in R:

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