Eigen.HMM_init {MatrixHMM} | R Documentation |
Initialization for ECM Algorithms in Matrix-Variate Hidden Markov Models
Description
Initializes the ECM algorithms used for fitting parsimonious matrix-variate Hidden Markov Models (HMMs). Parallel computing is implemented and highly recommended for faster computations.
Usage
Eigen.HMM_init(
Y,
k,
density,
mod.row = "all",
mod.col = "all",
nstartR = 50,
nThreads = 1,
verbose = FALSE,
seed = 3
)
Arguments
Y |
An array with dimensions |
k |
An integer or vector indicating the number of states in the model(s). |
density |
A character string specifying the distribution to use in the HMM. Possible values are: "MVN" for the matrix-variate normal distribution, "MVT" for the matrix-variate t-distribution, and "MVCN" for the matrix-variate contaminated normal distribution. |
mod.row |
A character string indicating the parsimonious structure of the row covariance (or scale) matrices. Possible values are: "EII", "VII", "EEI", "VEI", "EVI", "VVI", "EEE", "VEE", "EVE", "EEV", "VVE", "VEV", "EVV", "VVV", or "all". When "all" is specified, all 14 parsimonious structures are considered. |
mod.col |
A character string indicating the parsimonious structure of the column covariance (or scale) matrices. Possible values are: "II", "EI", "VI", "EE", "VE", "EV", "VV", or "all". When "all" is specified, all 7 parsimonious structures are considered. |
nstartR |
An integer specifying the number of random starts to consider. |
nThreads |
A positive integer indicating the number of cores to use for parallel processing. |
verbose |
A logical value indicating whether to display the running output. |
seed |
A positive integer specifying the seed for random generation. |
Value
A list containing the following elements:
results |
A list of the results from the initialization. |
k |
The number of states fitted in each model. |
req.model |
A data frame listing the models that were initialized. |
init.used |
A data frame listing the initializations used for the required models. |
index |
A numeric vector to be used by the |
dens |
The density used for the HMMs. |
Examples
data(simData)
Y <- simData$Y
init <- Eigen.HMM_init(Y = Y, k = 2, density = "MVT", mod.row = "EEE", mod.col = "EE", nstartR = 10)