Regularized Autoregressive Hidden Semi Markov Model

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Documentation for package ‘rarhsmm’ version 1.0.7

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package-rarhsmm-package Regularized Autoregressive Hidden Semi Markov Models
rarhsmm-package Regularized Autoregressive Hidden Semi Markov Models
em.hmm EM algorithm to compute maximum likelihood estimate of Gaussian hidden Markov models with / without autoregressive structures and with / without regularization on the covariance matrices and/or autoregressive structures.
em.semi EM algorithm to compute maximum likelihood estimate of Gaussian hidden semi-Markov models with / without autoregressive structures and with / without regularization on the covariance matrices and/or autoregressive structures.
finance NYSE stock closing price data
hmm.predict 1-step forward prediction for (autoregressive) Gaussian hidden Markov model
hmm.sim Simulate a Gaussian hidden Markov series with / without autoregressive structures
hsmm.predict 1-step forward prediction for (autoregressive) Gaussian hidden semi-Markov model
hsmm.sim Simulate a Gaussian hidden semi-Markov series with / without autoregressive structures
mvdnorm multivariate normal density
mvrnorm multivariate normal random number generator
package-rarhsmm Regularized Autoregressive Hidden Semi Markov Models
rmultinomial multinomial random variable generator
smooth.hmm Calculate the probability of being in a particular state for each observation.
smooth.semi Calculate the probability of being in a particular state for each observation.
viterbi.hmm Viterbi algorithm to decode the latent states for Gaussian hidden Markov model with / without autoregressive structures
viterbi.semi Viterbi algorithm to decode the latent states for Gaussian hidden semi-Markov model with / without autoregressive structures