CDGHMM

Authors Mackenzie R. Neal, Paul D. McNicholas, Alexa A. Sochaniwsky

Last update 4 June 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 0.1.0, 0.1.1, 0.1.2, 0.1.3, 0.1.4, PACKAGES.rds, 0.1.5

Description

Estimates hidden Markov models from the family of Cholesky-decomposed Gaussian hidden Markov models (CDGHMM) under various missingness schemes. This family improves upon estimation of traditional Gaussian HMMs by introducing parsimony, as well as, controlling for dropped out observations and non-random missingness. See Neal, Sochaniwsky and McNicholas (2024) <doi:10.1007/s11222-024-10462-0>.

Cites work

Hidden Markov models for multivariate panel data

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