# Dependent Mixture Model Specifiction `depmix` creates an object of class `depmix`, a dependent mixture model, otherwise known as hidden Markov model. For a short description of the package see `depmixS4`. See the vignette for an introduction to hidden Markov models and the package. methods ```r depmix(response, data=NULL, nstates, transition=~1, family=gaussian(), prior=~1, initdata=NULL, respstart=NULL, trstart=NULL, instart=NULL, ntimes=NULL,...) ``` ## Arguments - `response`: The response to be modeled; either a formula or a list of formulae (in the multivariate case); this interfaces to the glm and other distributions. See 'Details'. - `data`: An optional `data.frame` to interpret the variables in the response and transition arguments. - `nstates`: The number of states of the model. - `transition`: A one-sided formula specifying the model for the transitions. See 'Details'. - `family`: A family argument for the response. This must be a list of `family`'s if the response is multivariate. - `prior`: A one-sided formula specifying the density for the prior or initial state probabilities. - `initdata`: An optional data.frame to interpret the variables occuring in `prior`. The number of rows of this data.frame must be equal to the number of cases being modeled, `length(ntimes)`. See 'Details'. - `respstart`: Starting values for the parameters of the response models. - `trstart`: Starting values for the parameters of the transition models. - `instart`: Starting values for the parameters of the prior or initial state probability model. - `ntimes`: A vector specifying the lengths of individual, i.e. independent, time series. If not specified, the responses are assumed to form a single time series, i.e. `ntimes=nrow(data)`. If the `data` argument has an attribute `ntimes`, then this is used. The first example in `fit` uses this argument. - `...`: Not used currently. ## Details The function `depmix` creates an S4 object of class `depmix`, which needs to be fitted using `fit` to optimize the parameters. The response model(s) are by default created by call(s) to `GLMresponse` using the `formula` and the `family` arguments, the latter specifying the error distribution. See `GLMresponse` for possible values of the `family` argument for `glm`-type responses (ie a subset of the `glm` family options, and the multinomial). Alternative response distributions are specified by using the `makeDepmix` function. Its help page has examples of specifying a model with a multivariate normal response, as well as an example of adding a user-defined response model, in this case for the ex-gauss distribution. If `response` is a list of formulae, the `response`'s are assumed to be independent conditional on the latent state. The transitions are modeled as a multinomial logistic model for each state. Hence, the transition matrix can be modeled using time-varying covariates. The prior density is also modeled as a multinomial logistic. Both of these models are created by calls to `transInit`. Starting values for the initial, transition, and response models may be provided by their respective arguments. NB: note that the starting values for the initial and transition models as well as of the multinomial logit response models are interpreted as probabilities, and internally converted to multinomial logit parameters. The order in which parameters must be provided can be easily studied by using the `setpars` and `getpars` functions. Linear constraints on parameters can be provided as argument to the `fit` function. The print function prints the formulae for the response, transition and prior models along with their parameter values. Missing values are allowed in the data, but missing values in the covariates lead to errors. ## Returns `depmix` returns an object of class `depmix` which has the following slots: - **response**: A list of a list of response models; the first index runs over states; the second index runs over the independent responses in case a multivariate response is provided. - **transition**: A list of `transInit` models, ie multinomial logistic models with length the number of states. - **prior**: A multinomial logistic model for the initial state probabilities. - **dens,trDens,init**: See `depmix-class` help for details. For internal use. - **stationary**: Logical indicating whether the transitions are time-dependent or not; for internal use. - **ntimes**: A vector containing the lengths of independent time series. - **nstates**: The number of states of the model. - **nresp**: The number of independent responses. - **npars**: The total number of parameters of the model. Note: this is **not** the degrees of freedom because there are redundancies in the parameters, in particular in the multinomial models for the transitions and prior probabilities. ## Note Models are not fitted; the return value of `depmix` is a model specification without optimized parameter values. Use the `fit` function to optimize parameters, and to specify additional constraints. ## Author(s) Ingmar Visser & Maarten Speekenbrink ## See Also `fit`, `transInit`, `GLMresponse`, `depmix-methods` for accessor functions to `depmix` objects. For full control see the `makeDepmix` help page and its example section for the possibility to add user-defined response distributions. ## References Ingmar Visser and Maarten Speekenbrink (2010). depmixS4: An R Package for Hidden Markov Models. **Journal of Statistical Software, 36(7)**, p. 1-21. Lawrence R. Rabiner (1989). A tutorial on hidden Markov models and selected applications in speech recognition. **Proceedings of IEEE**, 77-2, p. 267-295. ## Examples ```r # create a 2 state model with one continuous and one binary response # ntimes is used to specify the lengths of 3 separate series data(speed) mod <- depmix(list(rt~1,corr~1),data=speed,nstates=2, family=list(gaussian(),multinomial("identity")),ntimes=c(168,134,137)) # print the model, formulae and parameter values mod set.seed(1) # fit the model by calling fit fm <- fit(mod) # Volatility of S & P 500 returns # (thanks to Chen Haibo for providing this example) data(sp500) # fit some models msp <- depmix(logret~1,nstates=2,data=sp500) set.seed(1) fmsp <- fit(msp) # plot posterior state sequence for the 2-state model plot(ts(posterior(fmsp, type="smoothing")[,1], start=c(1950,2),deltat=1/12),ylab="probability", main="Posterior probability of state 1 (volatile, negative markets).", frame=FALSE) ## Not run: # this creates data with a single change point with Poisson data set.seed(3) y1 <- rpois(50,1) y2 <- rpois(50,2) ydf <- data.frame(y=c(y1,y2)) # fit models with 1 to 3 states m1 <- depmix(y~1,ns=1,family=poisson(),data=ydf) set.seed(1) fm1 <- fit(m1) m2 <- depmix(y~1,ns=2,family=poisson(),data=ydf) set.seed(1) fm2 <- fit(m2) m3 <- depmix(y~1,ns=3,family=poisson(),data=ydf) set.seed(1) fm3 <- fit(m3,em=em.control(maxit=500)) # plot the BICs to select the proper model plot(1:3,c(BIC(fm1),BIC(fm2),BIC(fm3)),ty="b") ## End(Not run) ## Not run: # similar to the binomial model, data may also be entered in # multi-column format where the n for each row can be different dt <- data.frame(y1=c(0,1,1,2,4,5),y2=c(1,0,1,0,1,0),y3=c(4,4,3,2,1,1)) # specify a mixture model ... m2 <- mix(cbind(y1,y2,y3)~1,data=dt,ns=2,family=multinomial("identity")) set.seed(1) fm2 <- fit(m2) # ... or dependent mixture model dm2 <- depmix(cbind(y1,y2,y3)~1,data=dt,ns=2,family=multinomial("identity")) set.seed(1) fdm2 <- fit(dm2) ## End(Not run) ```

depmix function