Regularized Autoregressive Hidden Semi Markov Model
Description
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) . The shrinkage estimation on the covariance matrices is based on the method by Ledoit et al. (2004) . The shrinkage estimation on the autoregressive coefficients uses the elastic net shrinkage detailed in Zou et al. (2005) .