Penalised Maximum Likelihood Estimation for Hidden Semi-Markov Models
Bernoulli distribution
State decoding
Parameter transformation from natural to working parameters
Negative log-likelihood evaluation
negative penalised HSMM log-likelihood function
Plot of the estimated HSMM dwell-time distributions.
HSMM penalised maximum likelihood estimation
HSMM pseudo-residuals
Tranistion probability matrix of the HMM representation
Parameter transformation from working to natural parameters
Provides tools for penalised maximum likelihood estimation of hidden semi-Markov models (HSMMs) with flexible state dwell-time distributions. These include functions for model fitting, model checking and state-decoding. The package considers HSMMs for univariate time series with state-dependent gamma, normal, Poisson or Bernoulli distributions. For details, see Pohle, J., Adam, T. and Beumer, L.T. (2021): Flexible estimation of the state dwell-time distribution in hidden semi-Markov models. <arXiv:2101.09197>.