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

Documentation for package ‘GaussianHMM1d’ version 1.0.1

em.step	Function to perform the E-M steps for the estimation of the paramters
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
Sn	Cramer-von Mises statistic for goodness-of-fit of the null hypothesis of a univariate uniform distrubtion over [0,1]