HMMscpg: Hidden Markov Models and Shifted Compound Poisson-Gamma Renewal
Process
Provides functions to define, simulate and fit hidden Markov models,
hidden semi-Markov models, and their time-varying versions, to incompletely
observed point process records. Such data arise when some events of an
underlying point process are not recorded or are otherwise missing. The
models treat the number of missing events between each pair of consecutively
observed events of a point process record as a hidden process. The number of
missing events may be fixed or modelled as a random variable whose
distribution can vary over time. When the number of missing events is fixed,
the observed event times can be modelled as a compound gamma renewal process.
When it is random, the observed process is represented by a shifted compound
Poisson-gamma renewal process, which may also depend on time, leading to a
time-dependent shifted compound Poisson-gamma renewal process. These
modelling frameworks are described in detail in Shahzadi, Wang, Parry and
Bebbington (2023) <doi:10.1007/s10463-022-00843-5> and Shahzadi, Wang, Parry
and Bebbington (2026) <doi:10.1007/s11634-025-00632-x>. The model parameters
are estimated through direct nonlinear numerical optimization of the
corresponding likelihood function, and each fit reports whether the change
points of its time-dependent components are identified by the data. The
package also provides methods for assessing model adequacy through residual
analysis. In addition, it calculates and plots the most probable sequences of
hidden states, allowing users to examine changes in the underlying
missing-event process over time.
| Version: |
1.0.0 |
| Imports: |
Rdpack, methods, stats, utils, Bessel, Rcpp |
| LinkingTo: |
Rcpp, RcppArmadillo |
| Suggests: |
knitr, rmarkdown, Rmpfr |
| Published: |
2026-10-28 |
| DOI: |
10.32614/CRAN.package.HMMscpg (may not be active yet) |
| Author: |
Amina Shahzadi [aut, cre],
Ting Wang [aut] |
| Maintainer: |
Amina Shahzadi <aminashahzadi at gcu.edu.pk> |
| License: |
GPL-3 |
| NeedsCompilation: |
yes |
| CRAN checks: |
HMMscpg results |
Documentation:
Downloads:
Linking:
Please use the canonical form
https://CRAN.R-project.org/package=HMMscpg
to link to this page.