Regularized Autoregressive Hidden Semi Markov Model

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) . The shrinkage estimation on the covariance matrices is based on the method by Ledoit et al. (2004) . The shrinkage estimation on the autoregressive coefficients uses the elastic net shrinkage detailed in Zou et al. (2005) .


Reference manual

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1.0.7 by Zekun Xu, a year ago

Browse source code at

Authors: Zekun (Jack) Xu , Ye Liu

Documentation:   PDF Manual  

GPL license

Imports Rcpp, glmnet

Linking to Rcpp, RcppArmadillo

See at CRAN