GaussianHMM1d (1.0.1)

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Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models.

Inference, goodness-of-fit test, and prediction densities and intervals for univariate Gaussian Hidden Markov Models (HMM). The goodness-of-fit is based on a Cramer-von Mises statistic and uses parametric bootstrap to estimate the p-value. The description of the methodology is taken from Chapter 10.2 of Remillard (2013) .

Maintainer: Bouchra Nasri
Author(s): Bouchra R. Nasri and Bruno N. Remillard

License: GPL (>= 2)

Uses: doParallel, foreach

Released 7 months ago.



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