compute_joint_state {regmhmm}

Posterior Joint Probability Calculation for Hidden States in a Hidden Markov Model

Description

Calculate the posterior joint probability of hidden states given parameters of a hidden Markov model.

Usage

compute_joint_state(delta, Y, A, B, X, family)

Arguments

delta

a vector of length S specifying the initial probabilities.

Y

a vector of observations of size T.

A

a matrix of size S x S specifying the transition probabilities.

B

a matrix of size S x (p + 1) specifying the GLM parameters of the emission probabilities.

X

a design matrix of size T x p.

family

the family of the response.

Value

An array of size S x S x T that represents the posterior joint probability of hidden states.

Examples

# Example usage of the function
parameters_setting <- list()
parameters_setting$emis_mat <- matrix(NA, nrow = 2, ncol = 4)
parameters_setting$emis_mat[1, 1] <- 0.1
parameters_setting$emis_mat[1, 2] <- 0.5
parameters_setting$emis_mat[1, 3] <- -0.75
parameters_setting$emis_mat[1, 4] <- 0.75
parameters_setting$emis_mat[2, 1] <- -0.1
parameters_setting$emis_mat[2, 2] <- -0.5
parameters_setting$emis_mat[2, 3] <- 0.75
parameters_setting$emis_mat[2, 4] <- 1
parameters_setting$trans_mat <- matrix(NA, nrow = 2, ncol = 2)
parameters_setting$trans_mat[1, 1] <- 0.65
parameters_setting$trans_mat[1, 2] <- 0.35
parameters_setting$trans_mat[2, 1] <- 0.2
parameters_setting$trans_mat[2, 2] <- 0.8
parameters_setting$init_vec <- c(0.65, 0.35)
dat <- simulate_HMM_data(
  seed_num = 1,
  p_noise = 7,
  N = 100,
  N_persub = 10,
  parameters_setting = parameters_setting
)
compute_joint_state_get <- compute_joint_state(
    delta = parameters_setting$init_vec,
    Y = dat$y_mat[1, ],
    A = parameters_setting$trans_mat,
    B = parameters_setting$emis_mat,
    X = dat$X_array[, 1:4, 1],
    family = "P"
  )