GaussianHMM1d (Q146476)
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Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models
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| English | GaussianHMM1d |
Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models |
Statements
8 July 2023
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Inference, goodness-of-fit test, and prediction densities and intervals for univariate Gaussian Hidden Markov Models (HMM). The goodness-of-fit is based on a Cramer-von Mises statistic and uses parametric bootstrap to estimate the p-value. The description of the methodology is taken from Chapter 10.2 of Remillard (2013) <doi:10.1201/b14285>.
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expanded from: GPL (≥ 2) (English)
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