Package: rarhsmm
Type: Package
Title: Regularized Autoregressive Hidden Semi Markov Model
Version: 1.0.7
Date: 2018-03-19
Author: Zekun (Jack) Xu, Ye Liu
Maintainer: Zekun Xu <zekunxu@gmail.com>
Description: 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>.
Depends: R(>= 3.0.0)
License: GPL
LazyData: TRUE
Imports: Rcpp (>= 0.12.9), glmnet
LinkingTo: Rcpp, RcppArmadillo
RoxygenNote: 6.0.1
NeedsCompilation: yes
Packaged: 2018-03-20 14:37:07 UTC; xuzekun
Repository: CRAN
Date/Publication: 2018-03-20 14:53:27 UTC
