# R/mixdiagmvnorm_mstep.R In hhsmm: Hidden Hybrid Markov/Semi-Markov Model Fitting

#### Documented in mixdiagmvnorm_mstep

```#' the M step function of the EM algorithm
#'
#' The M step function of the EM algorithm for the mixture
#' of multivariate normals with diagonal covariance matrix
#' as the emission distribution using the
#' observation matrix and the estimated weight vectors
#'
#' @author Morteza Amini, \email{morteza.amini@@ut.ac.ir}
#'
#' @param x the observation matrix
#' @param wt1 the state probabilities matrix (number of observations
#' times number of states)
#' @param wt2 the mixture components probabilities list (of length
#' nstate) of matrices (number of observations times number of
#' mixture components)
#'
#' @return list of emission (mixture multivariate normal) parameters:
#' (\code{mu}, \code{sigma} and \code{mix.p}), where \code{sigma} is a diagonal matrix
#'
#' @examples
#' data(CMAPSS)
#' n = nrow(CMAPSS\$train\$x)
#' wt1 <- matrix(runif(3 * n), nrow = n, ncol = 3)
#' wt2 <- list()
#' for(j in 1:3) wt2[[j]] <- matrix(runif(5 * n), nrow = n, ncol = 5)
#' emission <- mixdiagmvnorm_mstep(CMAPSS\$train\$x, wt1, wt2)
#'
#'
#' @export
#'
mixdiagmvnorm_mstep <- function(x, wt1, wt2)
{
emission <- list(mix.p = list(), mu = list(), sigma = list())
nstate <- ncol(wt1)
nmix <- c()
for (j in 1:nstate) {
nmix[j] <- dim(wt2[[j]])[2]
if (nmix[j] > 1) {
emission\$mu[[j]] <- list()
emission\$sigma[[j]] <- list()
emission\$mix.p[[j]] <- rep(0, nmix[j])
for (i in 1:nmix[j]) {
tmp <- cov.mix.wt(x, wt1[, j], wt2[[j]][, i])
emission\$mu[[j]][[i]] <- tmp\$center
emission\$sigma[[j]][[i]] <- diag(diag(tmp\$cov))
emission\$mix.p[[j]][i] <- tmp\$pmix
}
emission\$mix.p[[j]] <- emission\$mix.p[[j]] / sum(emission\$mix.p[[j]])
} else {
tmp <- cov.mix.wt(x, wt1[, j], wt2[[j]][, 1])
emission\$mu[[j]] <- tmp\$center
emission\$sigma[[j]] <- diag(diag(tmp\$cov))
emission\$mix.p[[j]] <- tmp\$pmix
}#if else
}# for j
emission
}
```

## Try the hhsmm package in your browser

Any scripts or data that you put into this service are public.

hhsmm documentation built on May 29, 2024, 6:08 a.m.