GaussianHMM1d (Q146476)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | GaussianHMM1d |
Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models |
Statements
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>.
0 references
expanded from: GPL (≥ 2) (English)
0 references
5 February 2025
0 references
