ForecastHMMeta {GenHMM1d} | R Documentation |
Predicted probabilities of regimes of a univariate HMM for a new observation
Description
This function computes the predicted probabilities of the regimes for a new observation of a univariate HMM, given observations up to time n
Usage
ForecastHMMeta(ynew, ZI = 0, family, theta, Q, eta)
Arguments
ynew |
new observations |
ZI |
1 if zero-inflated, 0 otherwise (default) |
family |
distribution name; run the function distributions() for help |
theta |
parameters; (r x p) |
Q |
probability transition matrix for the regimes; (r x r) |
eta |
vector of the estimated probability of each regime at time n; (1 x r) |
Value
etanew |
predicted probabilities of the regimes |
Examples
family = "gaussian"
theta = matrix(c(-1.5, 1.7, 1, 1),2,2)
Q = matrix(c(0.8, 0.3, 0.2, 0.7), 2, 2)
eta = c(0.96, 0.04)
ForecastHMMeta(1.5, 0, family, theta, Q, eta)
[Package GenHMM1d version 0.2.1 Index]