hsmm.viterbi: Hidden Semi-Markov Models

In hsmm: Hidden Semi Markov Models

Description

Inference on the hidden states for given observations and model specifications of a hidden semi-Markov model. The Viterbi algorithm determines the most probable sequence of hidden states.

Usage

hsmm.viterbi(x, 
             od, 
             rd, 
             pi.par,
             tpm.par,
             od.par,
             rd.par,
             M = NA)

Arguments

x	The observed process, a vector of length T.
od	Character containing the name of the conditional distribution of the observations. For details see hsmm.
rd	Character containing the name of the runlength distribution (or sojourn time, dwell time distribution). For details see hsmm.
pi.par	Vector of length J containing the values for the intitial probabilities of the semi-Markov chain.
tpm.par	Matrix of dimension J x J containing the parameter values for the transition probability matrix of the embedded Markov chain. The diagonal entries must all be zero, absorbing states are not permitted.
rd.par	List with the values for the parameters of the runlength distributions. For details see hsmm.
od.par	List with the values for the parameters of the conditional observation distributions. For details see hsmm.
M	Positive integer containing the maximum runlength.

Details

The function hsmm.viterbi carries out the Viterbi algorithm. It derives the most probable state sequence by a dynamic programming technique. This procedure is often termed 'global decoding'.

Value

call	The matched call.
path	Vector of length T containing the most probable path of the underlying states.

See Also

hsmm, hsmm.sim, hsmm.smooth

Examples

# Simulating observations: 
# (see hsmm.sim for details)
pipar  <- rep(1/3, 3)
tpmpar <- matrix(c(0, 0.5, 0.5,
                   0.7, 0, 0.3,
                   0.8, 0.2, 0), 3, byrow = TRUE)
rdpar  <- list(p = c(0.98, 0.98, 0.99))
odpar  <- list(mean = c(-1.5, 0, 1.5), var = c(0.5, 0.6, 0.8))
sim    <- hsmm.sim(n = 2000, od = "norm", rd = "log", 
                   pi.par = pipar, tpm.par = tpmpar, 
                   rd.par = rdpar, od.par = odpar, seed = 3539)

# Executing the Viterbi algorithm:
fit.vi <- hsmm.viterbi(sim$obs, od = "norm", rd = "log", 
                       pi.par = pipar, tpm.par = tpmpar, 
                       od.par = odpar, rd.par = rdpar)

# The first 15 values of the resulting path:
fit.vi$path[1:15]

# For comparison, the real/simulated path (first 15 values):
sim$path[1:15]

Example output

Loading required package: mvtnorm
 [1] 2 2 1 1 1 1 3 1 1 1 1 1 1 1 1
 [1] 2 2 1 2 2 2 2 1 1 1 1 1 1 1 1

hsmm documentation built on May 2, 2019, 12:32 p.m.