Copula-based Correlation Structure for Multivariate Emission Distributions in Hidden Markov Models

The hardware in the UMBC High Performance Computing Facility (HPCF) is supported by the U.S. National Science Foundation through the MRI program (grant nos. CNS–0821258, CNS–1228778, and OAC–1726023) and the SCREMS program (grant no. DMS–0821311), with additional substantial support from the University of Maryland, Baltimore County (UMBC). See hpcf.umbc.edu for more information on HPCF and the projects using its resources. HMM estimation has been carried out using the MVNHMM toolbox (http://www.sergeykirshner.com/software/mvnhmm) developed by Sergey Kirshner; ancillary scripts developed by Jonathan N. Basalyga and Gerson C. Kroiz have also been used. Reetam Majumder was supported by JCET and as HPCF RA.