r-FourWayHMM

Implements parsimonious hidden Markov models for four-way data via expectation- conditional maximization algorithm, as described in Tomarchio et al. (2020) <arXiv:2107.04330>. The matrix-variate normal distribution is used as emission distribution. For each hidden state, parsimony is reached via the eigen-decomposition of the covariance matrices of the emission distribution. This produces a family of 98 parsimonious hidden Markov models.