mmpp-2nd-level-functions {HiddenMarkov}

Markov Modulated Poisson Process - 2nd Level Functions

Description

These functions have not been put into a generic format, but are called by generic functions.

Usage

forwardback.mmpp(tau, Q, delta, lambda, fortran = TRUE, fwd.only = FALSE)
Estep.mmpp(tau, Q, delta, lambda, fortran = TRUE)

Arguments

tau

vector containing the interevent times. Note that the first event is at time zero.

Q

the infinitesimal generator matrix of the Markov process.

lambda

a vector containing the Poisson rates.

delta

is the marginal probability distribution of the m hidden states at time zero.

fortran

logical, if TRUE (default) use the Fortran code, else use the R code.

fwd.only

logical, if FALSE (default) calculate both forward and backward probabilities; else calculate and return only forward probabilities and log-likelihood.

Details

These functions use the algorithm given by Ryden (1996) based on eigenvalue decompositions.

References

Cited references are listed on the HiddenMarkov manual page.