package-rarhsmm

rarhsmm-package

package-rarhsmm-package

<table><tr><td>
Package: </td>
<td> rarhsmm </td>
</tr><tr><td>
Type: </td>
<td> Package</td>
</tr><tr><td>
Version: </td>
<td> 1.0.7</td>
</tr><tr><td>
Date: </td>
<td> 2018-03-19</td>
</tr><tr><td>
License: </td>
<td> GPL </td>
</tr><tr><td>
LazyLoad: </td>
<td> yes</td>
</tr><tr><td>
LazyData: </td>
<td> yes</td>
</tr></table>

models

Markov

Regularized

Autoregressive

hidden

semi-Markov

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>.

Zekun Xu

rarhsmm

Regularized Autoregressive Hidden Semi Markov Model

package-rarhsmm function

Regularized Autoregressive Hidden Semi Markov Models — package-rarhsmm

Regularized Autoregressive Hidden Semi Markov Models

package-rarhsmm: Regularized Autoregressive Hidden Semi Markov Models

Description

Arguments

Package:	rarhsmm
Type:	Package
Version:	1.0.7
Date:	2018-03-19
License:	GPL
LazyLoad:	yes
LazyData:	yes