forwards_backwards: Forward Backward for homogeneous MSAR models

In NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

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

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, [e-mail]

See Also

fit.MSAR, Estep.MSAR

NHMSAR documentation built on Feb. 9, 2022, 9:06 a.m.