NHMSAR (version 1.19)

viterbi_path: Viterbi path homogeneous MSAR models

Description

Computes the Viterbi path associated to an homogenenous HMM or MSAR model.

Usage

viterbi_path(prior, transmat, obsmat)

Arguments

prior

prior probabilities PRIOR(I) = Pr(X(1) = I)

transmat

transition matrice TRANSMAT(I,J) = Pr(X(T+1)=J | X(T)=I)

obsmat

emission probabilities OBSMAT(I,t) = Pr(Y(t) | X(t)=I)

Value

List including

..$gamma

smoothing probabilities P(X(t)|Y(0),...,Y(T))

..$xi

two steps smoothing probabilities P(X(t),X(t+1)|Y(0),...,Y(T))

..$loglik

log likelihood

..$M

Number of regimes

..$alpha

intermediate component in the FB algorithm (forward)

..$beta

intermediate component in the FB algorithm (backward)

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See Also

forwards_backwards.R, fit.MSAR, Estep.MSAR