hmm-univariate-gaussian.R

mySpec <- hmm(
  K = 3, R = 1,
  observation = Gaussian(
    mu    = Gaussian(0, 10),
    sigma = Student(mu = 0, sigma = 10, nu = 1, bounds = list(0, NULL))
  ),
  initial     = Dirichlet(alpha = c(0.5, 0.5, 0.5)),
  transition  = Dirichlet(alpha = c(0.5, 0.5, 0.5)),
  name = "Univariate Gaussian"
)

set.seed(9000)
y <- as.matrix(
  c(rnorm(100, 5, 1), rnorm(100, 0, 1), rnorm(100, -5, 1))
)

myFit <- fit(mySpec, y = y, chains = 1, iter = 500, seed = 9000)

plot_obs(myFit)

print_all(myFit)