forwardbackward: Forward and backward variables

Description

Compute the forward and backward variables of a depmix object.

Usage

# S4 method for mix
forwardbackward(object, return.all=TRUE, useC=TRUE, ...)

Arguments

object

A depmix object.

return.all

If FALSE, only gamma and xi and the log likelihood are returned (which are the only variables needed in using EM).

useC

Flag used to set whether the C-code is used to compute the forward, backward, gamma and xi variables or not; the R-code is basically obsolete (but retained for now for debugging purposes).

…

Not currently used.

Value

forwardbackward returns a list of the following (the variables are named after the notation from Rabiner, 1989):

alpha

The forward variables.

beta

The backward variables.

gamma

The smoothed state probabilities.

The smoothed transition probabilities.

sca

The scale factors (called lambda in Rabiner, 1989).

logLike

The log likelihood (computed as -sum(log(sca)).

If return.all=FALSE, only gamma, xi and the log likelihood are returned.

References

Lawrence R. Rabiner (1989). A tutorial on hidden Markov models and selected applications in speech recognition. Proceedings of IEEE, 77-2, p. 267-295.

Examples

Run this code

# NOT RUN {
data(speed)

# 2-state model on rt and corr from speed data set 
# with Pacc as covariate on the transition matrix
# ntimes is used to specify the lengths of 3 separate series
mod1 <- depmix(list(rt~1,corr~1),data=speed,transition=~Pacc,nstates=2,
	family=list(gaussian(),multinomial("identity")),ntimes=c(168,134,137))

fb <- forwardbackward(mod1)
all.equal(-sum(log(fb$sca)),fb$logLike)

# }