Parsimonious Hidden Markov Models for Four-Way Data
Description
Implements parsimonious hidden Markov models for four-way data via expectation-
conditional maximization algorithm, as described in Tomarchio et al. (2020) .
The matrix-variate normal distribution is used as emission distribution. For each hidden
state, parsimony is reached via the eigen-decomposition of the covariance matrices of the
emission distribution. This produces a family of 98 parsimonious hidden Markov models.