# initGHMM: Random Initialization for a Hidden Markov Model with... In RcppHMM: Rcpp Hidden Markov Model

## Description

Function used to generate a hidden Markov model with continuous variables and random parameters. This method allows using the univariate version of a Gaussian Mixture Model when setting m = 1. The code for the methods with categorical values or discrete data can be viewed in `"initHMM"` and `"initPHMM"`, respectively.

## Usage

 `1` ```initGHMM(n,m) ```

## Arguments

 `n` the number of hidden states to use. `m` the number of variables generated by the hidden states (Dimensionality of the bbserved vector).

## Value

A `"list"` that contains the required values to specify the model.

 `Model` it specifies that the observed values are to be modeled as a Gaussian mixture model. `StateNames` the set of hidden state names. `A` the transition probabilities matrix. `Mu` a matrix of means of the observed variables (rows) in each states (columns). `Sigma` a 3D matrix that has the covariance matrix of each state. The number of slices is equal to the maximum number of hidden states. `Pi` the initial probability vector.

## References

Cited references are listed on the RcppHMM manual page.

## Examples

 ```1 2 3 4``` ```n <- 3 m <- 5 model <- initGHMM(n, m) print(model) ```

### Example output

```Attaching package: 'RcppHMM'

The following object is masked from 'package:stats':

setNames

\$Model
[1] "GHMM"

\$StateNames
[1] "x1" "x2" "x3"

\$A
[,1]       [,2]      [,3]
[1,] 0.3850967 0.07848957 0.5364137
[2,] 0.4632427 0.21443606 0.3223212
[3,] 0.4013862 0.22724452 0.3713693

\$Mu
[,1]      [,2]       [,3]
[1,] -4.287879 -8.052023 -2.6753357
[2,]  2.807856 -6.370422  5.7743707
[3,]  2.893671  3.842607 -0.2396861
[4,]  2.155135  9.059913  8.0559998
[5,] -9.001419  5.731653  5.3710692

\$Sigma
, , 1

[,1]     [,2]      [,3]      [,4]      [,5]
[1,] 44.96628 10.71199  92.02508  16.80684  35.08081
[2,] 10.71199 75.33942  38.46948  67.17811  40.63659
[3,] 92.02508 38.46948 317.92484 155.79331 244.79003
[4,] 16.80684 67.17811 155.79331 450.17115 264.00857
[5,] 35.08081 40.63659 244.79003 264.00857 476.24865

, , 2

[,1]      [,2]      [,3]      [,4]     [,5]
[1,] 160.51755 183.31659  10.35411  76.87737  75.3215
[2,] 183.31659 246.45161  60.29914 191.18516 119.1682
[3,]  10.35411  60.29914  88.17759 163.15001 113.2332
[4,]  76.87737 191.18516 163.15001 612.38650 288.2347
[5,]  75.32150 119.16815 113.23317 288.23466 603.9064

, , 3

[,1]      [,2]      [,3]      [,4]     [,5]
[1,] 110.1637 192.82466 149.63264  48.95360 160.9112
[2,] 192.8247 469.74905 380.43584  92.94779 404.4102
[3,] 149.6326 380.43584 311.48569  78.42035 335.3700
[4,]  48.9536  92.94779  78.42035 285.98342 422.0553
[5,] 160.9112 404.41016 335.37002 422.05533 981.4505

\$Pi
[,1]      [,2]     [,3]
[1,] 0.1219744 0.5339806 0.344045
```

RcppHMM documentation built on May 2, 2019, 8:56 a.m.