HMMmlselect-package {HMMmlselect}

Determine the number of states in hidden Markov models via marginal likelihood

Description

(See the Manual.pdf file in "inst/extdata"" folder for a detail description of all functions, and a detail tutorial.)

This packages provides function to estimate the number of states in a Hidden Markov model (HMM) using the marginal likelihood method proposed by Chen, Fuh, Kao and Kou (2019+), which we would denoted as HMMml2017 afterward. HMMmlselect estimates the number of states, and PlotHMM plots. Other related functions are also provided.

Details

Package:	HMMmlselect
Type:	Package
Version:	1.0
Date:	2019-2-08
License:	GNU GENERAL PUBLIC LICENSE Version 3, 29 June 2007

Author(s)

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou

Maintainer: Chu-Lan Michael Kao <[e-mail]>

References

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2019+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.

Examples

library(HMMmlselect)

# simulate a 25 observations HMM
obs = HMMsim ( n = 25 )$obs

# perform order selection and estimation
results = HMMmlselect ( y = obs, list(Kfits = c(2,3), boolUseMclust = FALSE) )

# visualize the results, see figure 1
PlotHMM ( y = obs, results )