hmm2EMStep: HMM EM Update

In SWotherspoon/MVNSeq: Normal Mixture and Hidden Markov Models

HMM EM Update

Description

The HMM update step of the EM algorithm

Usage

hmm2EMStep(K, y, pars, formula1, formula2, data)

Arguments

K	the number of classes
y	the sequence of observations
pars	current sequence parameters
formula1	formula for the logistic model relating the transition from state 1 to state 2 to the covariates
formula2	formula for the logistic model relating the transition from state 2 to state 1 to the covariates
data	a dataframe of covariates

Details

Perform a single step of the EM algorithm to fit the HMM component of a two state multivariate Normal HMM model where the transistion probabilities are governed by logistic regression models.

Value

the updated set of parameters

SWotherspoon/MVNSeq documentation built on June 1, 2022, 10:49 p.m.