generator

This function builds the infinitesimal generator matrix for a continuous-time Markov chain from an unconstrained parameter vector.

A variety of latent Markov models, including hidden Markov models, hidden semi-Markov models,
state-space models and continuous-time variants can be formulated and estimated within the same framework via directly maximising the likelihood function using the so-called forward algorithm.
Applied researchers often need custom models that standard software does not easily support.
Writing tailored 'R' code offers flexibility but suffers from slow estimation speeds.
We address these issues by providing easy-to-use functions (written in 'C++' for speed) for common tasks like the forward algorithm.
These functions can be combined into custom models in a Lego-type approach, offering up to 10-20 times faster estimation via standard numerical optimisers.
To aid in building fully custom likelihood functions, several vignettes are included that show how to simulate data from and estimate all the above model classes.

Jan-Ole Koslik

LaMa

Fast Numerical Maximum Likelihood Estimation for Latent Markov
Models

generator function

<dl><dt>param</dt>
<dd>unconstrained parameter vector of length N*(N-1) where N is the number of states of the Markov chain</dd>
<dt>byrow</dt>
<dd>logical indicating if the transition probability matrix should be filled by row</dd>
<dt>report</dt>
<dd>logical, indicating whether the generator matrix Q should be reported from the fitted model. Defaults to <code>TRUE</code>, but only works if when automatic differentiation with <code>RTMB</code> is used.</dd></dl>

Arguments

Build the generator matrix of a continuous-time Markov chain — generator

<dl>

<dt>param</dt>
<dd>unconstrained parameter vector of length N*(N-1) where N is the number of states of the Markov chain</dd>


<dt>byrow</dt>
<dd>logical indicating if the transition probability matrix should be filled by row</dd>


<dt>report</dt>
<dd>logical, indicating whether the generator matrix Q should be reported from the fitted model. Defaults to <code>TRUE</code>, but only works if when automatic differentiation with <code>RTMB</code> is used.</dd>

</dl>

generator: Build the generator matrix of a continuous-time Markov chain

Description

Usage

Value

Arguments

See Also

Examples