Inference, Goodness-of-Fit and Forecast for Univariate Gaussian Hidden Markov Models

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Documentation for package ‘GaussianHMM1d’ version 1.1.1

• DESCRIPTION file.

Help Pages

EstHMM1d	Estimation of a univariate Gaussian Hidden Markov Model (HMM)
EstRegime	Estimated Regimes for the univariate Gaussian HMM
ForecastHMMeta	Estimated probabilities of the regimes given new observations
ForecastHMMPdf	Density function of a Gaussian HMM at time n+k
GaussianMixtureCdf	Distribution function of a mixture of Gaussian univariate distributions
GaussianMixtureInv	Inverse distribution function of a mixture of Gaussian univariate distributions
GaussianMixturePdf	Density function of a mixture of Gaussian univariate distributions
GofHMM1d	Goodness-of-fit test of a univariate Gaussian Hidden Markov Model
Sim.HMM.Gaussian.1d	Simulation of a univariate Gaussian Hidden Markov Model (HMM)
Sim.Markov.Chain	Simulation of a finite Markov chain
SimHMMGaussianInv	Simulation of a univariate Gaussian Hidden Markov Model (HMM)
Sn	Cramer-von Mises statistic for goodness-of-fit of the null hypothesis of a univariate uniform distrubtion over [0,1]