pmleHSMM: HSMM penalised maximum likelihood estimation

In PHSMM: Penalised Maximum Likelihood Estimation for Hidden Semi-Markov Models

Description

Estimates the parameters of a hidden semi-Markov model (HSMM) for univariate time series using numerical penalised maximum likelihood estimation. The dwell times are modelled using distributions with an unstructured start and a geometric tail. During the estimation, (higher-order) differences between adjacent dwell-time probabilities are penalised to derive smooth and flexible estimates. The function allows for normal-, gamma-, Poisson- or Bernoulli-distributions in the state-dependent process.

Usage

pmleHSMM(y, N, p_list, mu, sigma=NULL, omega=NULL, delta=NULL,
        lambda, order_diff, y_dist=c("norm","gamma","pois","bern"),
        stationary=TRUE, p_ref=2, print.level=0, iterlim=10000,
        stepmax=NULL, hessian=FALSE, gradtol=10^(-6))

Arguments

y	vector containing the observed time series.
N	number of states of the HSMM, integer greater than 1.
p_list	list of vectors containing the starting values for the state dwell-time distributions. The list comprises N vectors, i.e. one vector for each state. Each vector contains the state's dwell-time probabilities for the unstructured start and, as last element, the probability mass captured in the geometric tail. Thus, each vector must sum to one and automatically determines the length of the unstructured start of the according state dwell-time distribution.
mu	starting values for the state-dependent mean values if normal, gamma or Poisson distributions are used to model the state-dependent observations. State-dependent probabilities if Bernoulli distributions are chosen. The vector is of length N and the values must be sorted in an ascending order (to avoid label switching).
sigma	starting values for the state-dependent standard deviations if gamma or normal state-dependent distributions are used. In that case, sigma is a vector of length N, otherwise it is NULL (default).
omega	starting values for the conditional transition probability matrix of the underlying semi-Markov chain. Only needed if the number of states exceeds 2, otherwise it is NULL (default). In the former case, omega is a matrix with N rows and N columns, its diagonal elements must be zero and its rows must sum to one.
delta	starting values for the initial distribution of the underlying semi-Markov chain if stationary=FALSE. In that case, delta is a vector of dimension N and its elements must sum to one. For stationary=TRUE, delta is ignored and can be set to NULL (default).
lambda	vector of length N containing the smoothing parameter values to weight the penalty term.
order_diff	order of the differences used for the penalty term, positive integer which does not exceed the length of the unstructured starts (as determined by p_list).
y_dist	character determining the class of state-dependent distributions used to model the observations. Supported values are "norm" (normal distribution), "gamma" (gamma distribution), "pois" (Poisson distribution) and "bern" (Bernoulli distribution).
stationary	Logical, if TRUE (default), stationarity is assumed, if FALSE, an initial distribution is estimated and the underlying state-sequence is assumed to enter a new state at time t=1.
p_ref	positive integer determining the reference dwell-time probability used for the multinomial logit parameter transformation. Default value is 2. Only needs to be changed if the dwell-time probability for dwell time r=2 is estimated very close to zero in order to avoid numerical problems.
print.level	print level for the optimisation procedure nlm. Default value is 0 corresponding to no printing. See nlm for more details.
iterlim	maximum number of iterations for the optimisation procedure nlm. Default value is 10000.
stepmax	stepmax value for nlm. The default value NULL corresponds to the nlm default. See nlm for more details.
hessian	Logical, if TRUE, the hessian matrix is calculated and returned by nlm, if FALSE (default), the hessian is not calculated.
gradtol	tolerance value for a convergence criterion used by nlm. Default value is 10^(-6). See nlm for more details.

Details

The numerical penalised maximum likelihood estimation requires starting values for each HSMM parameter. If these starting values are poorly chosen, the algorithm might fail in finding the global optimum of the penalised log-likelihood function. Therefore, it is highly recommended to repeat the estimation several times using different sets of starting values.

The maximisation of the penalised log-likelihood function is carried out using the optimisation routine nlm. The likelihood evaluation is written in C++ to speed up the estimation.

Value

An HSMM model object, i.e. a list containing:

p_list	list containing the penalised maximum likelihood estimates for the state dwell-time distributions.
mu	vector containing the penalised maximum likelihood estimates for the state-dependent mean values or state-dependent probabilities, depending on the chosen class of state-dependent distributions.
sigma	vector containing the penalised maximum likelihood estimates for the state-dependent standard deviations if state-dependent gamma or normal distributions are used.
delta	vector containing the equilibrium distribution if stationary=TRUE, otherwise vector of the estimated initial distribution.
omega	penalised maximum likelihood estimate of the conditional HSMM transition probability matrix.
Gamma	transition probability matrix corresponding to the HMM representation of the estimated HSMM.
npll	minimum negative penalised log likelihood value as found by nlm.
gradient	gradient of the negative penalised log-likelihood function as returned by nlm.
iterations	number of iterations until convergence.
code_conv	convergence code as returned by nlm.
w_parvect	vector of the penalised maximum likelihood working parameters.
stationary	Logical, as specified for the estimation.
y_dist	state-dependent distribution, as specified for the estimation.

References

See nlm for further details on the numerical optimisation routine.

For details on the model formulation and likelihood function, see:

Pohle, J., Adam, T. and Beumer, L.T. (2021): Flexible estimation of the state dwell-time distribution in hidden semi-Markov models. arXiv:https://arxiv.org/abs/2101.09197.

Langrock, R. and Zucchini W. (2011): Hidden Markov models with arbitrary state dwell-time distributions. Computational Statistics and Data Analysis, 55, p. 715–724.

Zucchini, W., MacDonald, I.L. and Langrock, R. (2016): Hidden Markov models for time series: An introduction using R. 2nd edition. Chapman & Hall/CRC, Boca Raton.

Examples

# running this example might take a few minutes
#
# 1.) fit 2-state gamma-HSMM to hourly muskox step length
# using a length of 10 for the unstructured start
#
# initial values
p_list0<-list()
p_list0[[1]]<-c(dgeom(0:9,0.2),1-pgeom(9,0.2))
p_list0[[2]]<-c(dgeom(0:9,0.2),1-pgeom(9,0.2))
mu0<-c(5,150)
sigma0<-c(3,180)
#
# fit 2-state gamma-HSMM with lambda=c(100,100)
# and difference order 3
# estimation might take a few minutes
PHSMM<-pmleHSMM(y=muskox$step,N=2,p_list=p_list0,mu=mu0,
                sigma=sigma0,lambda=c(100,100),order_diff=3,
                y_dist='gamma')




# running this example might take a few minutes
#
# 2.) fit 3-state gamma-HSMM to hourly muskox step length
# using a length of 10 for the unstructured start
#
# initial values
p_list0<-list()
p_list0[[1]]<-c(dgeom(0:9,0.2),1-pgeom(9,0.2))
p_list0[[2]]<-c(dgeom(0:9,0.2),1-pgeom(9,0.2))
p_list0[[3]]<-c(dgeom(0:9,0.2),1-pgeom(9,0.2))
omega0<-matrix(0.5,3,3)
diag(omega0)<-0
mu0<-c(5,100,350)
sigma0<-c(3,90,300)
#
# fit 3-state gamma-HSMM with lambda=c(1000,1000,1000)
# and difference order 3
# estimation might take some minutes
PHSMM<-pmleHSMM(y=muskox$step,N=3,p_list=p_list0,mu=mu0,
                sigma=sigma0,omega=omega0,
                lambda=c(1000,1000,1000),
                order_diff=3,y_dist='gamma')

PHSMM documentation built on Feb. 9, 2021, 5:07 p.m.