Builds all transition probability matrices of an inhomogeneous-HSMM-approximating HMM

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.

This function computes the transition matrices of a periodically inhomogeneos HSMMs.

Usage

tpm_ihsmm(omega, dm, eps = 1e-10)

Arguments

omega

embedded transition probability matrix

Either a matrix of dimension c(N,N) for homogeneous conditional transition probabilities (as computed by tpm_emb), or an array of dimension c(N,N,n) for inhomogeneous conditional transition probabilities (as computed by tpm_emb_g).

dm

state dwell-time distributions arranged in a list of length N

Each list element needs to be a matrix of dimension c(n, N_i), where each row t is the (approximate) probability mass function of state i at time t.

eps

rounding value: If an entry of the transition probabily matrix is smaller, than it is rounded to zero. Usually, this should not be changed.

Value

list of dimension length n - max(sapply(dm, ncol)), containing sparse extended-state-space transition probability matrices for each time point (except the first max(sapply(dm, ncol)) - 1).

Examples

N = 2
# time-varying mean dwell times
n = 100
z = runif(n)
beta = matrix(c(2, 2, 0.1, -0.1), nrow = 2)
Lambda = exp(cbind(1, z) %*% t(beta))
sizes = c(15, 15) # approximating chain with 30 states
# state dwell-time distributions
dm = lapply(1:N, function(i) sapply(1:sizes[i]-1, dpois, lambda = Lambda[,i]))

## homogeneous conditional transition probabilites
# diagonal elements are zero, rowsums are one
omega = matrix(c(0,1,1,0), nrow = N, byrow = TRUE)

# calculating extended-state-space t.p.m.s
Gamma = tpm_ihsmm(omega, dm)

## inhomogeneous conditional transition probabilites
# omega can be an array
omega = array(omega, dim = c(N,N,n))

# calculating extended-state-space t.p.m.s
Gamma = tpm_ihsmm(omega, dm)