This package enables fitting HMMs with within-state autoregression in the state-dependent process as well as simulating data from said models.
Functionalities
- computation of partially penalised autoregressive HMM likelihood
- fitting autoregressive HMMs using direct numerical optimisation
- global state decoding
- computation of pseudo residuals
- simulation of data from autoregressive HMMs
- performing full simulation studies of autoregressive HMMs