March 2019
Beginner to intermediate
448 pages
13h 14m
English
Content preview from R Statistics Cookbook
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How it works...
The mathematics of HMMs are rather complex, but on a conceptual level, we could factorize the likelihood between terms, involving the observed variables and the unobserved ones. The usual way of estimating these models is by using the Expectation-Maximization algorithm. It works by iteratively taking expectations for the unobserved effects, and maximizing the log-likelihood.
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