ParamMixHMMR-class {flamingos}

A Reference Class which contains parameters of a mixture of HMMR models.

Description

ParamMixHMMR contains all the parameters of a mixture of HMMR models.

Fields

fData

FData object representing the sample (covariates/inputs X and observed responses/outputs Y).

K

The number of clusters (Number of HMMR models).

R

The number of regimes (HMMR components) for each cluster.

p

The order of the polynomial regression.

variance_type

Character indicating if the model is homoskedastic (variance_type = "homoskedastic") or heteroskedastic (variance_type = "heteroskedastic"). By default the model is heteroskedastic.

order_constraint

A logical indicating whether or not a mask of order one should be applied to the transition matrix of the Markov chain to provide ordered states. For the purpose of segmentation, it must be set to TRUE (which is the default value).

alpha

Cluster weights. Matrix of dimension (K, 1).

prior

The prior probabilities of the Markov chains. prior is a matrix of dimension (R, K). The k-th column represents the prior distribution of the Markov chain asociated to the cluster k.

trans_mat

The transition matrices of the Markov chains. trans_mat is an array of dimension (R, R, K).

mask

Mask applied to the transition matrices trans_mat. By default, a mask of order one is applied.

beta

Parameters of the polynomial regressions. beta is an array of dimension (p + 1, R, K), with p the order of the polynomial regression. p is fixed to 3 by default.

sigma2

The variances for the K clusters. If MixHMMR model is heteroskedastic (variance_type = "heteroskedastic") then sigma2 is a matrix of size (R, K) (otherwise MixHMMR model is homoskedastic (variance_type = "homoskedastic") and sigma2 is a matrix of size

nu

The degree of freedom of the MixHMMR model representing the complexity of the model.

phi

A list giving the regression design matrix for the polynomial regressions.

Methods

initParam(init_kmeans = TRUE, try_algo = 1)

Method to initialize parameters alpha, prior, trans_mat, beta and sigma2.

If init_kmeans = TRUE then the curve partition is initialized by the K-means algorithm. Otherwise the curve partition is initialized randomly.

If try_algo = 1 then beta and sigma2 are initialized by segmenting the time series Y uniformly into R contiguous segments. Otherwise, beta and sigma2 are initialized by segmenting randomly the time series Y into R segments.

initRegressionParam(Y, k, R, phi, variance_type, try_algo)

Initialize beta and sigma2 for the cluster k.

MStep(statMixHMMR)

Method which implements the M-step of the EM algorithm to learn the parameters of the MixHMMR model based on statistics provided by the object statMixHMMR of class StatMixHMMR (which contains the E-step).