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hsmm -- An R package for analyzing hidden semi-Markov models

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  • Bulla, Jan
  • Bulla, Ingo
  • Nenadic, Oleg

Abstract

Hidden semi-Markov models are a generalization of the well-known hidden Markov model. They allow for a greater flexibility of sojourn time distributions, which implicitly follow a geometric distribution in the case of a hidden Markov chain. The aim of this paper is to describe hsmm, a new software package for the statistical computing environment R. This package allows for the simulation and maximum likelihood estimation of hidden semi-Markov models. The implemented Expectation Maximization algorithm assumes that the time spent in the last visited state is subject to right-censoring. It is therefore not subject to the common limitation that the last visited state terminates at the last observation. Additionally, hsmm permits the user to make inferences about the underlying state sequence via the Viterbi algorithm and smoothing probabilities.

Suggested Citation

  • Bulla, Jan & Bulla, Ingo & Nenadic, Oleg, 2010. "hsmm -- An R package for analyzing hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 54(3), pages 611-619, March.
    • Handle: RePEc:eee:csdana:v:54:y:2010:i:3:p:611-619
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    References listed on IDEAS

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    1. Bulla, Jan & Bulla, Ingo, 2006. "Stylized facts of financial time series and hidden semi-Markov models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2192-2209, December.
    2. Bulla, Jan, 2006. "Application of Hidden Markov Models and Hidden Semi-Markov Models to Financial Time Series," MPRA Paper 7675, University Library of Munich, Germany.
    3. Jan Bulla & Andreas Berzel, 2008. "Computational issues in parameter estimation for stationary hidden Markov models," Computational Statistics, Springer, vol. 23(1), pages 1-18, January.
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    Cited by:

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    3. Shi, Yue & Punzo, Antonio & Otneim, Håkon & Maruotti, Antonello, 2023. "Hidden semi-Markov models for rainfall-related insurance claims," Discussion Papers 2023/17, Norwegian School of Economics, Department of Business and Management Science.
    4. C. E. Pertsinidou & G. Tsaklidis & E. Papadimitriou & N. Limnios, 2017. "Application of hidden semi-Markov models for the seismic hazard assessment of the North and South Aegean Sea, Greece," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(6), pages 1064-1085, April.
    5. O'Connell, Jared & Højsgaard, Søren, 2011. "Hidden Semi Markov Models for Multiple Observation Sequences: The mhsmm Package for R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 39(i04).
    6. Morteza Amini & Afarin Bayat & Reza Salehian, 2023. "hhsmm: an R package for hidden hybrid Markov/semi-Markov models," Computational Statistics, Springer, vol. 38(3), pages 1283-1335, September.
    7. Ting Wang & Jiancang Zhuang & Kazushige Obara & Hiroshi Tsuruoka, 2017. "Hidden Markov modelling of sparse time series from non-volcanic tremor observations," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(4), pages 691-715, August.
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    10. Valeriy Zakamulin, 2023. "Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model," Risk Management, Palgrave Macmillan, vol. 25(1), pages 1-25, March.

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