cphidden {repeated} | R Documentation |

`cphidden`

fits a two-state hidden Markov chain model with
a variety of distributions in continuous time in order to locate a
changepoint in the chosen distribution. All series on different
individuals are assumed to start at the same time point.

For quantitative responses, specifying `par`

allows an `observed'
autoregression to be fitted as well as the hidden Markov chain.

All functions and formulae for the location parameter are on the (generalized) logit scale for the Bernoulli, binomial, and multinomial distributions.

If `cmu`

and `tvmu`

are used, these two mean functions are
additive so that interactions between time-constant and time-varying
variables are not possible.

The algorithm will run more quickly if the most frequently occurring time step is scaled to be equal to unity.

The object returned can be plotted to give the probabilities of being
in each hidden state at each time point. See `hidden`

for details. For distributions other than the multinomial, proportional
odds, and continuation ratio, the (recursive) predicted values can be
plotted using `mprofile`

and
`iprofile`

.

cphidden(response=NULL, totals=NULL, times=NULL, distribution="Bernoulli", mu=NULL, cmu=NULL, tvmu=NULL, pgamma, pmu=NULL, pcmu=NULL, ptvmu=NULL, pshape=NULL, pfamily=NULL, par=NULL, pintercept=NULL, delta=NULL, envir=parent.frame(), print.level=0, ndigit=10, gradtol=0.00001, steptol=0.00001, fscale=1, iterlim=100, typsiz=abs(p), stepmax=10*sqrt(p%*%p))

`response` |
A list of two or three column matrices with counts or
category indicators, times, and possibly totals (if the distribution
is binomial), for each individual, one matrix or dataframe of counts,
or an object of class, `response` (created by
`restovec` ) or `repeated` (created by
`rmna` or `lvna` ). If the
`repeated` data object contains more than one response variable,
give that object in `envir` and give the name of the response
variable to be used here. If there is only one series, a vector of
responses may be supplied instead.
Multinomial and ordinal categories must be integers numbered from 0. |

`totals` |
If response is a matrix, a corresponding matrix of
totals if the distribution is binomial. Ignored if response has class,
`response` or `repeated` . |

`times` |
If `response` is a matrix, a vector of corresponding
times, when they are the same for all individuals. Ignored if response
has class, `response` or `repeated` . |

`distribution` |
Bernoulli, Poisson, multinomial, proportional odds, continuation ratio, binomial, exponential, beta binomial, negative binomial, normal, inverse Gauss, logistic, gamma, Weibull, Cauchy, Laplace, Levy, Pareto, gen(eralized) gamma, gen(eralized) logistic, Hjorth, Burr, gen(eralized) Weibull, gen(eralized) extreme value, gen(eralized) inverse Gauss, power exponential, skew Laplace, or Student t. (For definitions of distributions, see the corresponding [dpqr]distribution help.) |

`mu` |
A general location function with two possibilities: (1) a list of formulae (with parameters having different names) or functions (with one parameter vector numbering for all of them) each returning one value per observation; or (2) a single formula or function which will be used for all states (and all categories if multinomial) but with different parameter values in each so that pmu must be a vector of length the number of unknowns in the function or formula times the number of states (times the number of categories minus one if multinomial). |

`cmu` |
A time-constant location function with three possibilities:
(1) a list of formulae (with parameters having different names) or
functions (with one parameter vector numbering for all of them) each
returning one value per individual; (2) a single formula or function
which will be used for all states (and all categories if multinomial)
but with different parameter values in each so that pcmu must be a
vector of length the number of unknowns in the function or formula
times the number of states (times the number of categories minus one
if multinomial); or (3) a function returning an array with one row for
each individual, one column for each state of the hidden Markov chain,
and, if multinomial, one layer for each category but the last. If
used, this function or formula should contain the intercept. Ignored
if `mu` is supplied. |

`tvmu` |
A time-varying location function with three possibilities:
(1) a list of formulae (with parameters having different names) or
functions (with one parameter vector numbering for all of them) each
returning one value per time point; (2) a single formula or function
which will be used for all states (and all categories if multinomial)
but with different parameter values in each so that ptvmu must be a
vector of length the number of unknowns in the function or formula
times the number of states (times the number of categories minus one
if multinomial); or (3) a function returning an array with one row for
each time point, one column for each state of the hidden Markov chain,
and, if multinomial, one layer for each category but the last. This
function or formula is usually a function of time; it is the same for
all individuals. It only contains the intercept if `cmu` does
not. Ignored if `mu` is supplied. |

`pgamma` |
An initial estimate of the transition intensity between the two states in the continuous-time hidden Markov chain. |

`pmu` |
Initial estimates of the unknown parameters in `mu` . |

`pcmu` |
Initial estimates of the unknown parameters in `cmu` . |

`ptvmu` |
Initial estimates of the unknown parameters in `tvmu` . |

`pshape` |
Initial estimate(s) of the dispersion parameter, for those distributions having one. This can be one value or a vector with a different value for each state. |

`pfamily` |
Initial estimate of the family parameter, for those distributions having one. |

`par` |
Initial estimate of the autoregression parameter. |

`pintercept` |
For multinomial, proportional odds, and continuation
ratio models, `p-2` initial estimates for intercept contrasts
from the first intercept, where `p` is the number of categories. |

`delta` |
Scalar or vector giving the unit of measurement (always
one for discrete data) for each response value, set to unity by
default. For example, if a response is measured to two decimals,
delta=0.01. If the response is transformed, this must be multiplied by
the Jacobian. For example, with a log transformation,
`delta=1/response` . Ignored if response has class, `response` or
`repeated` . |

`envir` |
Environment in which model formulae are to be
interpreted or a data object of class, `repeated` , `tccov` ,
or `tvcov` ; the name of the response variable should be given in
`response` .
If `response` has class `repeated` , it is used as the
environment. |

`others` |
Arguments controlling `nlm` . |

A list of classes `hidden`

and `recursive`

(unless
multinomial, proportional odds, or continuation ratio) is returned
that contains all of the relevant information calculated, including
error codes.

J.K. Lindsey

`chidden`

, `gar`

,
`gnlmm`

,
`hidden`

, `iprofile`

,
`kalcount`

, `mexp`

,
`mprofile`

, `nbkal`

,
`read.list`

, `restovec`

,
`rmna`

.

# model for one randomly-generated binary series y <- c(rbinom(10,1,0.1), rbinom(10,1,0.9)) mu <- function(p) array(p, c(1,2)) print(z <- cphidden(y, times=1:20, dist="Bernoulli", pgamma=0.1,cmu=mu, pcmu=c(-2,2))) # or equivalently print(z <- cphidden(y, times=1:20, dist="Bernoulli", pgamma=0.2,cmu=~1, pcmu=c(-2,2))) # or print(z <- cphidden(y, times=1:20, dist="Bernoulli", pgamma=0.2,mu=~rep(a,20), pmu=c(-2,2))) mexp(z$gamma) par(mfcol=c(2,2)) plot(z) plot(iprofile(z), lty=2) print(z <- cphidden(y, times=(1:20)*2, dist="Bernoulli", pgamma=0.1,cmu=~1, pcmu=c(-2,2))) mexp(z$gamma) %*% mexp(z$gamma) plot(z) plot(iprofile(z), lty=2)

[Package *repeated* version 1.0 Index]