forwards_backwards: Forward Backward for homogeneous MSAR models

Description Usage Arguments Value Author(s) See Also

Description

Computes the posterior (or smoothing) probabilities in an homogenenous HMM or MSAR model using the forwards backwards algo. 'filter_only' is an optional argument (default: 0). If 1, we do filtering, if 0, smoothing.

Usage

1
forwards_backwards(prior, transmat, obslik, filter_only = FALSE)

Arguments

prior

prior probabilities PRIOR(I) = Pr(X(1) = I)

transmat

transition matrice TRANSMAT(I,J) = Pr(X(T+1)=J | X(T)=I)

obslik

emission probabilities OBSLIK(I,t) = Pr(Y(t) | X(t)=I)

filter_only

optional argument (default: 0). If TRUE, we do filtering, if FALSE, smoothing (default).

Value

List including

..$gamma

smoothing probabilities P(X(t)|Y(0),...,Y(T))

..$xi

two steps smoothing probabilities P(X(t),X(t+1)|Y(0),...,Y(T))

..$loglik

log likelihood

..$M

Number of regimes

..$alpha

intermediate component in the FB algorithm (forward)

..$beta

intermediate component in the FB algorithm (backward)

Author(s)

Valerie Monbet, valerie.monbet@univ-rennes1.fr

See Also

fit.MSAR, Estep.MSAR



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