rarhsmm
1.0.7Regularized Autoregressive Hidden Semi Markov Model
Overview
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.
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- Examples that run
- 90%
- Documented parameters
- 100%
- Return-value docs
- 100%
- References docs
- 67%
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Code & Tests
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People & History
6 releases. Pick two to compare their code metrics. R releases are shown for context.
- RR 4.0.0 released · 2020-04-24
- archivedRemoved from CRAN2019-11-25check problems were not corrected in time
- RR 3.6.0 released · 2019-04-26
- RR 3.5.0 released · 2018-04-23
- 1.0.72018-03-20 · diff ↗
- 1.0.52017-10-18 · diff ↗
- 1.0.42017-05-07 · diff ↗
- 1.0.32017-05-01 · diff ↗
- RR 3.4.0 released · 2017-04-21
- 1.0.22017-04-19 · diff ↗
- 1.0.12017-04-12
- RR 3.3.0 released · 2016-05-03
Package metadata
- Total releases
- 6
- License
- GPL
- Minimum R
- ≥ 3.0.0
- Bundled data
- 60 KB / 1 file
- Download size
- not tracked yet
- Installed size
- not tracked yet
- With dependencies
- not tracked yet
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