Goodness-of-Fit for Univariate Hidden Markov Models

Inference, goodness-of-fit tests, and predictions for continuous and discrete univariate Hidden Markov Models (HMM). The goodness-of-fit test 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 Nasri et al (2020) .