LaMa (version 1.0.0)

forward_s: Forward algorithm for hidden semi-Markov models with homogeneous transition probability matrix

Description

Hidden semi-Markov models (HSMMs) are a flexible extension of HMMs. For direct numerical maximum likelhood estimation, HSMMs can be represented as HMMs on an enlarged state space (of size \(M\)) and with structured transition probabilities.

Usage

forward_s(delta, Gamma, allprobs, sizes)

Value

Log-likelihood for given data and parameters

Arguments

delta

Initial or stationary distribution of length M (where M is the number of approximating states)

Gamma

Transition probability matrix of dimension c(M,M)

allprobs

Matrix of state-dependent probabilities/ density values of dimension c(n, N), where N is the number of semi-Markovian states. This will automatically be converted to the appropriate dimension.

sizes

State aggregate sizes that are used for the approximation of the semi-Markov chain.

Examples

## generating data from homogeneous 2-state HSMM
mu = c(0, 6)
lambda = c(6, 12)
omega = matrix(c(0,1,1,0), nrow = 2, byrow = TRUE)
# simulation
# for a 2-state HSMM the embedded chain always alternates between 1 and 2
s = rep(1:2, 100)
C = x = numeric(0)
for(t in 1:100){
  dt = rpois(1, lambda[s[t]])+1 # shifted Poisson
  C = c(C, rep(s[t], dt))
  x = c(x, rnorm(dt, mu[s[t]], 1.5)) # fixed sd 2 for both states
}

## negative log likelihood function
mllk = function(theta.star, x, sizes){
  # parameter transformations for unconstraint optimization
  omega = matrix(c(0,1,1,0), nrow = 2, byrow = TRUE) # omega fixed (2-states)
  lambda = exp(theta.star[1:2]) # dwell time means
  dm = list(dpois(1:sizes[1]-1, lambda[1]), dpois(1:sizes[2]-1, lambda[2]))
  Gamma = tpm_hsmm(omega, dm)
  delta = stationary(Gamma) # stationary
  mu = theta.star[3:4]
  sigma = exp(theta.star[5:6])
  # calculate all state-dependent probabilities
  allprobs = matrix(1, length(x), 2)
  for(j in 1:2){ allprobs[,j] = dnorm(x, mu[j], sigma[j]) }
  # return negative for minimization
  -forward_s(delta, Gamma, allprobs, sizes)
}

## fitting an HSMM to the data
theta.star = c(log(5), log(10), 1, 4, log(2), log(2))
mod = nlm(mllk, theta.star, x = x, sizes = c(20, 30), stepmax = 5)