pr {hmm.discnp}R Documentation

Probability of state sequences.

Description

Calculates the conditional probability of one or more state sequences, given the corresponding observations sequences (and the model parameters.

Usage

pr(s,y,object=NULL,tpm,Rho,ispd=NULL)

Arguments

s A sequence of states of the underlying Markov chain, or a list of such sequences.
y A sequence of observations from a hidden Markov model, corresponding to the state sequence s, or a list of such sequences corresponding to the state sequences in the list s. If y is missing, it is extracted from object provided that object and its y component are not NULL. Otherwise an error is given.
object An object of class hmm.discnp as returned by hmm().
tpm The transition probability matrix of the chain. Ignored (and extracted from object instead) if object is not NULL.
Rho The matrix of probabilities specifying the distribution of the observations, given the underlying state. The rows of this matrix correspond to the possible values of the observations, the columns to the states. Ignored (and extracted from object instead) if object is not NULL.
ispd The vector specifying the initial state probability distribution of the Markov chain. Ignored (and extracted from object instead) if object is not NULL. If both ispd and object are NULL then ispd is taken to be the stationary distribution of the chain, calculated from tpm.

Value

The probability of s given y, or a vector of such probabilities if s and y are lists.

Warning

The conditional probabilities will be tiny if the sequences involved are of any substantial length. Underflow may be a problem. The implementation of the calculations is not sophisticated.

Author(s)

Rolf Turner r.turner@auckland.ac.nz
http://www.math.unb.ca/~rolf

See Also

hmm(), mps(), viterbi(), pr(), fitted.hmm.discnp()

Examples

# See the help for sim.hmm() for how to generate y.num.
## Not run: 
fit.num <- hmm(y.num,K=2,verb=TRUE)
# Using fitted parmeters.
s.vit.1   <- viterbi(y.num,fit.num)
pr.vit.1  <- pr(s.vit.1,object=fit.num)
# Using true parameters from which y.num was generated.
s.vit.2   <- viterbi(y.num,tpm=P,Rho=R)
pr.vit.2  <- pr(s.vit.2,y.num,tpm=P,Rho=R)
## End(Not run)

[Package hmm.discnp version 0.1-1 Index]