Hhsmm: An R package for hidden hybrid Markov/semi-Markov models

DOI10.48550/ARXIV.2109.12489arXiv2109.12489OpenAlexW3201674805WikidataQ114231236 ScholiaQ114231236MaRDI QIDQ72030FDOQ72030

Reza Salehian, Morteza Amini, Afarin Bayat

Publication date: 26 September 2021

Published in: Computational Statistics (Search for Journal in Brave)

Abstract: This paper introduces the hhsmm R package, which involves functions for initializing, fitting, and predication of hidden hybrid Markov/semi-Markov models. These models are flexible models with both Markovian and semi-Markovian states, which are applied to situations where the model involves absorbing or macro-states. The left-to-right models and the models with series/parallel networks of states are two models with Markovian and semi-Markovian states. The hhsmm also includes Markov/semi-Markov switching regression model as well as the auto-regressive HHSMM, the nonparametric estimation of the emission distribution using penalized B-splines, prediction of future states and the residual useful lifetime estimation in the predict function. The commercial modular aero-propulsion system simulation (C-MAPSS) data-set is also included in the package, which is used for illustration of the application of the package features. The application of the hhsmm package to the analysis and prediction of the Spain's energy demand is also presented.

Full work available at URL: https://arxiv.org/abs/2109.12489

zbMATH Keywords

continuous time sojournEM algorithmforward-backwardmixture of multivariate normalsViterbi algorithm

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Software, source code, etc. for problems pertaining to statistics (62-04)

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Cited In (1)

• hhsmm

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