computeScoreAndInformation: Score and Information matrix of the HMM parameters

In RHmm: Hidden Markov Models Simulations and Estimations

Score and Information matrix of the HMM parameters

Description

This function calculates the score and the information matrix of the independent parameters of the HMM, using Lystig and Hugues's algorithm.

Usage

computeScoreAndInformation(HMM, obs) 

Arguments

HMM	A HMMClass or a HMMFitClass object
obs	The vector, matrix, data frame, list of vectors or list of matrices of observations

Value

score	the score vector of the independent parameters
information	the information matrix of the independent parameters

References

Lystig Theodore C. and Hugues James P. (2002) Exact Computation of the Observed Information Matrix for Hidden Markov Models, Journal of Computational and Graphical Statistics, Vol. 11, No 3, 678-689.

See Also

HMMFit

Examples

  data(n1d_3s)
  Res_n1d_3s<-HMMFit(obs_n1d_3s, nStates=3)
  ScoreAndInfor <- computeScoreAndInformation(Res_n1d_3s, obs_n1d_3s)

RHmm documentation built on Nov. 30, 2023, 7:22 p.m.