Determine the Number of States in Hidden Markov Models via Marginal Likelihood

Provide functions to make estimate the number of states for a hidden Markov model (HMM) using marginal likelihood method proposed by the authors. See the Manual.pdf file a detail description of all functions, and a detail tutorial.


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Reference manual

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install.packages("HMMmlselect")

0.1.0 by Chu-Lan Michael Kao, 2 months ago


Browse source code at https://github.com/cran/HMMmlselect


Authors: Yang Chen , Cheng-Der Fuh , Chu-Lan Kao , and S. C. Kou.


Documentation:   PDF Manual  


GPL (>= 2) license


Imports HiddenMarkov, mclust, mvtnorm, stats, DirichletReg, Rcpp

Linking to Rcpp

System requirements: C++11


See at CRAN