Original link: http://tecdat.cn/?p=7973
Bayesian probabilistic model is a hidden Markov model for segmenting continuous multi-variable data. This model explains the data generated as a series of hidden. Each state is heavy tailed distribution of finite mixture having a specific mixing ratio and a state shared location / dispersion parameter.
All parameters in the model equipped with conjugate prior distribution, and by varying the Bayesian (the vB) inference learning algorithm, which is essentially similar to maximize desirable. The algorithm is robust to outliers and missing values may be acceptable.
Article generates a sequence parameter set of data from unknown BRHMM, and estimate their models generated only from these data. The results are plotted as time series
Number setting state, symbols and features
NumState=2;
NumSym=3;
NumFeat=5;
Set the number of sequences, each point, and missing values
NumSeq=2;
NumPoint=100;
NumMiss=20;Set parameter generation options. TransParam = 1/5
EmissParam=1/5;
LocParam=2;
DispParam=5;Set Sampling Options
NumDeg=5;
NumObs=1000;Print and display status
fprintf('\n')
fprintf('Sampling data ... ')Generating parameters for sampling
[Trans,Emiss,Loc,Disp]=GenParam(NumState,NumSym,NumFeat,...
TransParam,EmissParam,LocParam,DispParam);
Create a model for sampling
Obj= bhnn(NumState,NumSym,NumFeat);
Setting hyperparameter
Obj.TransWeight=Trans;
Obj.TransStren(:)=NumObs;
Obj.EmissWeight=Emiss;
Obj.EmissStren(:)=NumObs;
Obj.CompLoc=Loc;
Obj.CompScale(:)=NumObs;
Obj.CompDisp=Disp;
Obj.CompPrec(:)=max(NumObs,NumFeat);Random sampling data and delete the value
update status
fprintf('Done\n')
fprintf('Estimating model ... ')Creating estimation model
Obj=BHMM(NumState,NumSym,NumFeat);
Constraints transition parameters
Obj.TransWeight=Trans;
Obj.TransStren(:)=NumObs;And state probability estimation model
update status
Draw results
% 更新状态
fprintf('Done\n')
fprintf('\n')
end 
If you have any questions, please leave a comment below.
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Big Data tribe - Chinese professional third-party data service providers to provide customized one-stop data mining and statistical analysis consultancy services
Statistical analysis and data mining consulting services: y0.cn/teradat (Consulting Services, please contact the official website customer service )
QQ：3025393450
QQ exchange group: 186 388 004
[Service] Scene
Research; the company outsourcing; online and offline one training; data reptile collection; academic research; report writing; market research.
[Tribe] big data to provide customized one-stop data mining and statistical analysis consultancy
Welcome to elective our R language data analysis will be mining will know the course!