Description Usage Arguments Value Author(s) See Also
View source: R/nhforwards_backwards.R
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.
1 | nhforwards_backwards(prior, transition, obslik, filter_only = 0)
|
prior |
rior probabilities PRIOR(I) = Pr(X(1) = I) |
transition |
non homogeneous transitions, one transition matrix for each time |
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). |
..$gamma |
smoothing probabilities P(X(t)|Y(0),...,Y(T)) |
..$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) |
Valerie Monbet, valerie.monbet@univ-rennes1.fr
fit.MSAR, Estep.MSAR
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