hmm {proclhmm}

MMLE of HMM

Description

Maximum marginalized likelihood estimation of HMM. Optimization is performed through optim.

Usage

hmm(action_seqs, K, paras, verbose = TRUE, ...)

Arguments

action_seqs

a list of n action sequences

K

number of hidden states

paras

a list of elements named para_P1, para_P, and para_Q, providing initial values of model parameters

verbose

logical. If TRUE, progress messages are printed.

...

additional arguments passed to optim

Value

a list containing the following elements

seqs	action sequences coded in integers
K	number of hidden states
N	number of distinct actions
paras_init	a list containing initial values of parameters
paras_est	a list containing parameter estimates
init_mllh	initial value of the marginalized likelihood function
opt_mllh	maximized marginalized likelihood function
opt_res	object returned by optim

Examples

# generate data
paras_true <- sim_hmm_paras(5, 2)
sim_data <- sim_hmm(20, paras_true, 4, 10)
# randomly generate initial values of parameters
paras_init <- sim_hmm_paras(5, 2, return_prob=FALSE)
# fit hmm
hmm_res <- hmm(sim_data$seqs, 2, paras_init)