Hidden Markov models (HMMs) are a formal foundation for making probabilistic models of linear sequence 'labeling' problems 1,2. They provide a conceptual toolkit for building complex models just by ...

Drought is a naturally occurring climate phenomenon that significantly affects human and environmental activity, and can be considered one of the most widespread and destructive natural disasters.

We consider penalized estimation in hidden Markov models (HMMs) with multivariate Normal observations. In the moderate-to-large dimensional setting, estimation for HMMs remains challenging in practice ...