Package: GenHMM1d 0.2.8

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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manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
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 1 scripts 484 downloads 21 exports 91 dependencies

Last updated from:2e6e783df8. Checks:9 OK. Indexed: yes.

Target	Result	Time
linux-devel	OK	141
source / vignettes	OK	218
linux-release	OK	138
macos-release	OK	143
macos-oldrel	OK	109
windows-devel	OK	94
windows-release	OK	93
windows-oldrel	OK	82
wasm-release	OK	105

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:actuar bit bit64 chk cli clipr cluster codetools cpp11 crayon digest DistributionUtils doParallel dplyr EnvStats expint extraDistr farver foreach furrr future GeneralizedHyperbolic generics ggplot2 GLDEX globals glue goftest gtable hms isoband iterators labeling lattice lifecycle listenv magrittr MASS Matrix matrixcalc MatrixModels mnormt nloptr nortest numDeriv optimx parallelly pillar pkgconfig plyr pracma prettyunits progress purrr quantreg R6 rbibutils RColorBrewer Rcpp RcppArmadillo RcppEigen Rdpack readr reshape2 rlang rmutil S7 scales sgt skewt sn spacefillr SparseM ssddata ssdtools stabledist stringi stringr survival tibble tidyselect TMB tzdb universals utf8 VaRES vctrs VGAM viridisLite vroom withr

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 0.2.8

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

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