atp.MVT {MatrixHMM} | R Documentation |
Atypical Detection Points Using Matrix-Variate t Hidden Markov Models
Description
Detects atypical matrices via matrix-variate t Hidden Markov Models given a specified value of epsilon
.
Usage
atp.MVT(Y, M, U, V, class, epsilon)
Arguments
Y |
An array with dimensions |
M |
An array with dimensions |
U |
An array with dimensions |
V |
An array with dimensions |
class |
An |
epsilon |
A numeric value specifying the selected percentile of the chi-squared distribution with |
Value
An num
x t
matrix containing, for each observation and time, a 0 if it that matrix is typical and 1 otherwise.
Examples
data("simData2")
Y <- simData2$Y
init <- Eigen.HMM_init(Y = Y, k = 2, density = "MVT", mod.row = "EEE", mod.col = "EE", nstartR = 1)
fit <- Eigen.HMM_fit(Y = Y, init.par = init, nThreads = 1)
atp <- atp.MVT(Y = Y, M = fit[["results"]][[1]][[1]][[1]][["M"]],
U = fit[["results"]][[1]][[1]][[1]][["U"]],
V = fit[["results"]][[1]][[1]][[1]][["V"]],
class = fit[["results"]][[1]][[1]][[1]][["class"]],
epsilon = 0.99)
which(atp==1)
which(simData2[["atp.tr"]]==1)