GaussianHMM1d
Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models
v1.1.2
·
Feb 5, 2025
·
GPL (>= 2)
Description
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) <doi:10.1201/b14285>.
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