HMMmlselect (version 0.1.6)

RobustBIC: RobustBIC

Description

This function estimates the number of states of the given HMM data using robust BIC criteria.

Usage

RobustBIC(y, optionalbic = list())

Arguments

y

The observed data.

optionalbic

Optional variables as a list. Possible options include:

Value

This function returns the estimated number of hidden states through minimizing the BIC, the BIC values of all the possible number of hidden states, and the fitted model parameters under the estimated number of hidden states under the BIC method.

Details

See Manual.pdf in "inst/extdata" folder.

References

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2017+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.

Examples

# NOT RUN {
library(HMMmlselect)

# Example 1: use robust BIC to determine the order of HMM
obs = HMMsim ( n = 200 )$obs
resultsBIC = RobustBIC ( y = obs )
# }