Description Usage Arguments Value References Examples
Simulate a Gaussian hidden semi-Markov series with / without autoregressive structures
1 |
ns |
length of the simulated series |
mod |
list consisting of at least the following items: mod$m = number of states, mod$delta = vector of prior probabilities, mod$gamma = matrix of state transition probabilies. mod$mu = list of means, mod$sigma = list of covariance matrices. mod$d = list of state duration probabilities. For autoregressive hidden markov models, we also need the additional items: mod$auto = list of autocorrelation matrices. mod$arp = order of autoregressive. |
a list containing simulated series and states
Rabiner, Lawrence R. "A tutorial on hidden Markov models and selected applications in speech recognition." Proceedings of the IEEE 77.2 (1989): 257-286.
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#Gaussian HSMM 3 hidden states (no autoregressive structure)
m <- 3
mu <- list(c(3),c(-2),c(0))
sigma <- list(as.matrix(1), as.matrix(0.8),as.matrix(0.3))
delta <- c(0.3,0.3,0.4)
gamma <- matrix(c(0,0.5,0.5,0.5,0,0.5,0.5,0.5,0),3,3,byrow=TRUE)
d <- list(c(0.4,0.3,0.2,0.1), c(0.5,0.25,0.25), c(0.7,0.3))
mod1 <- list(m=m,mu=mu,sigma=sigma,delta=delta,gamma=gamma,d=d)
sim1 <- hsmm.sim(500,mod1)
y1 <- sim1$series
fit1 <- em.semi(y=y1, mod=mod1)
## Not run:
#AR(2) Gaussian HSMM with 3 hidden states
m <- 2
mu <- list(c(3,4,5),c(-2,-3,-4))
sigma <- list(diag(1.3,3),
matrix(c(1,-0.3,0.2,-0.3,1.5,0.3,0.2,0.3,2),3,3,byrow=TRUE))
delta <- c(0.5,0.5)
gamma <- matrix(c(0,1,1,0),2,2,byrow=TRUE)
d <- list(c(0.4,0.2,0.1,0.1,0.1,0.1),c(0.5,0.3,0.2))
auto <- list(matrix(c(0.3,0.2,0.1,0.4,0.3,0.2,
-0.3,-0.2,-0.1,0.3,0.2,0.1,
0,0,0,0,0,0),3,6,byrow=TRUE),
matrix(c(0.2,0,0,0.4,0,0,
0,0.2,0,0,0.4,0,
0,0,0.2,0,0,0.4),3,6,byrow=TRUE))
mod2 <- list(m=m,mu=mu,sigma=sigma,delta=delta,gamma=gamma,
auto=auto,arp=2,d=d)
sim2 <- hsmm.sim(2000,mod2)
y2 <- sim2$series
fit2 <- em.semi(y=y2, mod=mod2, arp=2)
## End(Not run)
|
iteration 1 ; loglik = -1025.779
iteration 2 ; loglik = -1019.649
iteration 3 ; loglik = -1019.411
iteration 4 ; loglik = -1019.362
iteration 5 ; loglik = -1019.344
iteration 6 ; loglik = -1019.334
iteration 7 ; loglik = -1019.328
iteration 8 ; loglik = -1019.324
iteration 9 ; loglik = -1019.321
iteration 10 ; loglik = -1019.319
iteration 11 ; loglik = -1019.317
iteration 12 ; loglik = -1019.316
iteration 13 ; loglik = -1019.315
iteration 14 ; loglik = -1019.314
iteration 1 ; loglik = -35069.29
iteration 2 ; loglik = -27317.43
iteration 3 ; loglik = -25924.26
iteration 4 ; loglik = -25238.04
iteration 5 ; loglik = -24829.38
iteration 6 ; loglik = -24445.05
iteration 7 ; loglik = -23891.5
iteration 8 ; loglik = -23539.6
iteration 9 ; loglik = -23468.22
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