viterbi_path: Viterbi path homogeneous MSAR models

In NHMSAR: Non-Homogeneous Markov Switching Autoregressive Models

Description

Computes the Viterbi path associated to an homogenenous HMM or MSAR model.

Usage

viterbi_path(prior, transmat, obsmat)

Arguments

prior	prior probabilities PRIOR(I) = Pr(X(1) = I)
transmat	transition matrice TRANSMAT(I,J) = Pr(X(T+1)=J | X(T)=I)
obsmat	emission probabilities OBSMAT(I,t) = Pr(Y(t) | X(t)=I)

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

forwards_backwards.R, fit.MSAR, Estep.MSAR

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