GenHMM1d (version 0.2.1)

ForecastHMMeta: 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)

Value

etanew

predicted probabilities of the regimes

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)

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)