Description Usage Arguments Details Value Author(s) See Also Examples

View source: R/spec_functions.R

Re-estimates the parameters of a multivariate normal emission
distribution as part of the EM algorithm for HMMs and HSMMs.
This is called by the `hmm`

and `hsmm`

functions. It is a
suitable prototype function for users wishing to design their own
emission distributions.

1 | ```
mstep.mvnorm(x, wt)
``` |

`x` |
A vector of observed values |

`wt` |
A T x J matrix of weights. Column entries are the weights for respective states. |

Users may write functions that take the same arguments and return the same values for their own custom emission distributions.

Returns the `emission`

slot of a `hmmspec`

or `hsmmspec`

object

`mu` |
A list of length J contain the mean vectors |

`sigma` |
A list of length J containing the covariance matrices |

Jared O'Connell [email protected]

1 2 3 4 5 6 7 8 9 | ```
J<-2
initial <- rep(1/J,J)
P <- matrix(c(.3,.5,.7,.5),nrow=J)
b <- list(mu=list(c(-3,0),c(1,2)),sigma=list(diag(2),matrix(c(4,2,2,3), ncol=2)))
model <- hmmspec(init=initial, trans=P, parms.emission=b,dens.emission=dmvnorm.hsmm)
model
train <- simulate(model, nsim=300, seed=1234, rand.emis=rmvnorm.hsmm)
plot(train,xlim=c(0,100))
h1 = hmmfit(train,model,mstep=mstep.mvnorm)
``` |

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