mySpec <- hmm(
K = 3, R = 2,
observation = MVGaussian(
mu = MVGaussian(mu = c(0, 0), sigma = matrix(c(100, 0, 0, 100), 2, 2)),
sigma = Wishart(nu = 5, sigma = matrix(c(1, 0, 0, 1), 2, 2))
),
initial = Dirichlet(alpha = c(1, 1, 1)),
transition = Dirichlet(alpha = c(1, 1, 1)),
name = "Multivariate Gaussian"
)
set.seed(9000)
y = rbind(
MASS::mvrnorm(n = 100, mu = c( -1, 1), Sigma = matrix(c(1, 0, 0, 1), 2, 2)),
MASS::mvrnorm(n = 100, mu = c( 0, 0), Sigma = matrix(c(1, 0, 0, 1), 2, 2)),
MASS::mvrnorm(n = 100, mu = c( -3, 3), Sigma = matrix(c(1, 0, 0, 1), 2, 2))
)
myModel <- compile(mySpec)
myFit <- draw_samples(mySpec, stanModel = myModel, y = y, chains = 1, iter = 500, seed = 9000)
print_obs(myFit)
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