Package: GenHMM1d 0.2.1

GenHMM1d: Goodness-of-Fit for Zero-Inflated Univariate Hidden Markov Models

Inference, goodness-of-fit tests, and predictions for continuous and discrete univariate Hidden Markov Models (HMM), including zero-inflated distributions. The goodness-of-fit test is based on a Cramer-von Mises statistic and uses parametric bootstrap to estimate the p-value. The description of the methodology is taken from Nasri et al (2020) <doi:10.1029/2019WR025122>.

Authors:Bouchra R. Nasri [aut, cre, cph], Mamadou Yamar Thioub [aut, cph], Bruno N. Remillard [aut, cph]

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GenHMM1d/json (API)

# Install 'GenHMM1d' in R:

install.packages('GenHMM1d', repos = c('https://bouchranasri.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 18 downloads 21 exports 94 dependencies

Last updated 20 days agofrom:450a888ee1. Checks:9 OK. Indexed: yes.

Target	Result	Latest binary
Doc / Vignettes	OK	Mar 14 2025
R-4.5-win	OK	Mar 14 2025
R-4.5-mac	OK	Mar 14 2025
R-4.5-linux	OK	Mar 14 2025
R-4.4-win	OK	Mar 14 2025
R-4.4-mac	OK	Mar 14 2025
R-4.4-linux	OK	Mar 14 2025
R-4.3-win	OK	Mar 14 2025
R-4.3-mac	OK	Mar 14 2025

Exports:alpha2theta bfun CDF CDF_est distributions ES EstHMMGen ForecastHMMCdf ForecastHMMeta ForecastHMMPdf ForecastHMMVAR GofHMMGen graphEstim GridSearchS0 PDF PDF_unc QUANTILE SimHMMGen SimMarkovChain Snd1 theta2alpha

Dependencies:abind actuar chk cli cluster codetools colorspace commonmark curl digest DistributionUtils doParallel dplyr EnvStats expint extraDistr fansi farver foreach furrr future gamlss.dist GeneralizedHyperbolic generics ggplot2 ggtext GLDEX globals glue goftest gridtext gtable isoband iterators jpeg labeling lattice lifecycle listenv magrittr markdown MASS Matrix matrixcalc MatrixModels mgcv mnormt munsell nlme nloptr nortest numDeriv optimx parallelly pillar pkgconfig plyr png pracma purrr quantreg R6 rbibutils RColorBrewer Rcpp RcppEigen Rdpack reshape2 rlang rmutil scales sgt skewt sn spacefillr SparseM ssddata ssdtools stabledist stringi stringr survival tibble tidyselect TMB universals utf8 VaRES vctrs VGAM viridisLite withr xfun xml2

Help page	Topics
Cumulative distribution function	CDF
The names and descriptions of the univariate distributions	distributions
Expected shortfall function	ES
Estimation of univariate hidden Markov model	EstHMMGen
Forecasted cumulative distribution function of a univariate HMM at times n+k1, n+k2,....	ForecastHMMCdf
Predicted probabilities of regimes of a univariate HMM for a new observation	ForecastHMMeta
Forecasted density function of a univariate HMM at time n+k1, n+k2, ...	ForecastHMMPdf
Value at risk (VAR) of a univariate HMM at time n+k1, n+k2, ...	ForecastHMMVAR
Goodness-of-fit of univariate hidden Markov model	GofHMMGen
Graphs	graphEstim
Gridsearch	GridSearchS0
Probability density function	PDF
Quantile function	QUANTILE
Simulation of univariate hidden Markov model	SimHMMGen
Markov chain simulation	SimMarkovChain
Cramer-von Mises statistic for the goodness-of-fit test of the null hypothesis of a univariate uniform distribution over [0,1]	Snd1

Package: GenHMM1d 0.2.1

GenHMM1d: Goodness-of-Fit for Zero-Inflated Univariate Hidden Markov Models

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