hidden {repeated} | R Documentation |
hidden
fits a two or more state hidden Markov chain model to
Bernoulli, binomial, Poisson, or categorical (multinomial) data. All
series on different individuals are assumed to start at the same time
point. Time points are equal, discrete steps.
The two mean functions are additive so that interactions between time-constant and time-varying variables are not possible. Both functions are on the (generalized) logit scale for the Bernoulli, binomial, and multinomial distributions and on the log scale for the Poisson distribution.
See MacDonald, I.L. and Zucchini, W. (1997) Hidden Markov and Other Models for Discrete-valued Time Series. Chapman and Hall.
hidden(response, totals=NULL, distribution="Bernoulli", pgamma, cmu=NULL, tvmu=NULL, pcmu=NULL, ptvmu=NULL, pshape=NULL, pfamily=NULL, delta=1, fscale=1, print.level=0, ndigit=10, gradtol=0.00001, steptol=0.00001, fscale=1, iterlim=100, typsiz=abs(p), stepmax=10*sqrt(p%*%p))
response |
A list of two or three column matrices with counts or
category indicators, times, and possibly totals (if the distribution
is binomial), for each individual, one matrix or dataframe of counts,
or an object of class, response (created by restovec ) or
repeated (created by rmna ). If there is only one series,
a vector of responses may be supplied instead. |
totals |
If response is a matrix, a corresponding matrix of totals if the distribution is binomial. Ignored if response has class, response or repeated. |
distribution |
Bernoulli, Poisson, multinomial, binomial, exponential, beta binomial, negative binomial, normal, inverse Gauss, logistic, gamma, Weibull, Cauchy, Laplace, Levy, Pareto, gen(eralized) gamma, gen(eralized) logistic, Hjorth, Burr, gen(eralized) Weibull, gen(eralized) extreme value, gen(eralized) inverse Gauss, or power exponential. |
pgamma |
A square mxm matrix of initial estimates of the hidden Markov transition matrix, where m is the number of hidden states. Rows must sum to one. If the matrix contains zeroes or ones, these are fixed and not estimated. (Ones cannot appear on the diagonal.) If a 1x1 matrix or a scalar value of 1 is given, the independence model is fitted. |
cmu |
A time-constant mean function returning an array with one row for each individual, one column for each state of the hidden Markov chain, and, if multinomial, one layer for each category but the last. |
tvmu |
A time-varying mean function returning an array with one row for each time point (maximum number of time points for all individuals if unequal), one column for each state of the hidden Markov chain, and, if multinomial, one layer for each category but the last. This is usually a function of time; it is the same for all individuals. |
pcmu |
Initial estimates of the unknown parameters in
cmu . |
ptvmu |
Initial estimates of the unknown parameters in
tvmu . |
pshape |
Initial estimate(s) of the dispersion parameter, for those distributions having one. This can be one value or a vector with a different value for each state. |
pfamily |
Initial estimate of the family parameter, for those distributions having one. |
delta |
Scalar or vector giving the unit of measurement (always
one for discrete data) for each response value, set to unity by
default. For example, if a response is measured to two decimals,
delta=0.01. If the response is transformed, this must be multiplied by
the Jacobian. For example, with a log transformation,
delta=1/response . Ignored if response has class, response or
repeated. |
others |
Arguments controlling nlm . |
A list of class hidden
is returned.
J.K. Lindsey
chidden
, gar
, gnlmm
,
kalcount
, nbkal
, read.list
,
rmna
, restovec
.
# generate two random Poisson sequences with change-points y <- rbind(c(rpois(5,1), rpois(15,5)), c(rpois(15,1), rpois(5,5))) mu <- function(p) array(rep(p[1:2],rep(2,2)), c(2,2)) print(z <- hidden(y,dist="Poisson", cmu=mu, pcmu=c(1,5), pgamma=matrix(c(0.9,0.2,0.1,0.8),ncol=2))) plot(z, nind=1:2) plot(z, nind=1:2, smooth=T)