GaussianHMM1d

CRANGaussianHMM1dMaRDI QIDQ146476

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

Bouchra R. Nasri, Bruno N Remillard

Last update: 8 July 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 1.0.1, 1.1.0, 1.1.1

Description

Inference, goodness-of-fit test, and prediction densities and intervals for univariate Gaussian Hidden Markov Models (HMM). The goodness-of-fit 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 Chapter 10.2 of Remillard (2013) <doi:10.1201/b14285>.

Cites work

• Statistical Methods for Financial Engineering

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