Penalised Maximum Likelihood Estimation for Hidden Semi-Markov Models

Provides tools for penalised maximum likelihood estimation of hidden semi-Markov models (HSMMs) with flexible state dwell-time distributions. These include functions for model fitting, model checking and state-decoding. The package considers HSMMs for univariate time series with state-dependent gamma, normal, Poisson or Bernoulli distributions. For details, see Pohle, J., Adam, T. and Beumer, L.T. (2021): Flexible estimation of the state dwell-time distribution in hidden semi-Markov models. .


Reference manual

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1.0 by Jennifer Pohle, a year ago

Browse source code at

Authors: Jennifer Pohle

Documentation:   PDF Manual  

GPL-3 license

Imports Rcpp

Linking to Rcpp, RcppArmadillo

See at CRAN