public void Sigma_ErgodicAndObservationAndLogNormalized_SigmaCalculated() { var util = new TestDataUtils(); var observations = util.GetSvcData(util.FTSEFilePath, new DateTime(2011, 11, 18), new DateTime(2011, 12, 18)); var sequence = Helper.Convert(observations); var model = HiddenMarkovModelStateFactory.GetState(new ModelCreationParameters <NormalDistribution>() { NumberOfStates = NumberOfStates, Emissions = CreateEmissions(observations, NumberOfStates) }); //new HiddenMarkovModelState<NormalDistribution>(NumberOfStates, CreateEmissions(observations, NumberOfStates)) { LogNormalized = true }; model.Normalized = true; var baseParameters = new BasicEstimationParameters <NormalDistribution> { Model = model, Observations = sequence, Normalized = model.Normalized }; var alphaEstimator = new AlphaEstimator <NormalDistribution>(); var alpha = alphaEstimator.Estimate(baseParameters); var betaEstimator = new BetaEstimator <NormalDistribution>(); var beta = betaEstimator.Estimate(baseParameters); var @params = new AdvancedEstimationParameters <NormalDistribution> { Alpha = alpha, Beta = beta, Observations = sequence, Model = model }; var gammaEstimator = new GammaEstimator <NormalDistribution>(); var muEstimator = new MuMultivariateEstimator <NormalDistribution>(); var estimator = new SigmaMultivariateEstimator <NormalDistribution>(); var muParams = new MuEstimationParameters <NormalDistribution> { Gamma = gammaEstimator.Estimate(@params), Model = model, Normalized = model.Normalized, Observations = Helper.Convert(observations) }; Assert.IsNotNull(estimator); var sigma = estimator.Estimate(new SigmaEstimationParameters <NormalDistribution, double[][]>(muParams) { Mean = muEstimator.Estimate(muParams) }); for (int n = 0; n < NumberOfStates; n++) { for (int i = 0; i < sequence[0].Dimention; i++) { for (int j = 0; j < sequence[0].Dimention; j++) { Assert.IsTrue(sigma[n][i, j] > 0, string.Format("Failed Sigma {0}", sigma[n][i, j])); } } } }
public void SigmaEstimator_ModelAndObservations_SigmaEstimatorCreated() { var util = new TestDataUtils(); var observations = util.GetSvcData(util.FTSEFilePath, new DateTime(2011, 11, 18), new DateTime(2011, 12, 18)); var model = HiddenMarkovModelStateFactory.GetState(new ModelCreationParameters <NormalDistribution>() { NumberOfStates = NumberOfStates, Emissions = CreateEmissions(observations, NumberOfStates) }); //new HiddenMarkovModelState<NormalDistribution>(NumberOfStates, CreateEmissions(observations, NumberOfStates)) { LogNormalized = true }; model.Normalized = true; var estimator = new SigmaMultivariateEstimator <NormalDistribution>(); Assert.IsNotNull(estimator); }
public IHiddenMarkovModel <IMultivariateDistribution> Run(int maxIterations, double likelihoodTolerance) { // Initialize responce object var forwardBackward = new ForwardBackward(Normalized); do { maxIterations--; if (!_estimatedModel.Likelihood.EqualsTo(0)) { _currentModel = HiddenMarkovModelStateFactory.GetState(new ModelCreationParameters <IMultivariateDistribution> { Pi = _estimatedPi, TransitionProbabilityMatrix = _estimatedTransitionProbabilityMatrix, Emissions = _estimatedEmissions }); //new HiddenMarkovModelState<IMultivariateDistribution>(_estimatedPi, _estimatedTransitionProbabilityMatrix, _estimatedEmissions) { LogNormalized = _estimatedModel.LogNormalized }; _currentModel.Normalized = Normalized; _currentModel.Likelihood = _estimatedModel.Likelihood; } // Run Forward-Backward procedure forwardBackward.RunForward(_observations, _currentModel); forwardBackward.RunBackward(_observations, _currentModel); var @params = new AdvancedEstimationParameters <IMultivariateDistribution> { Alpha = forwardBackward.Alpha, Beta = forwardBackward.Beta, Observations = _observations, Model = _currentModel, Normalized = _currentModel.Normalized }; _gammaEstimator = new GammaEstimator <IMultivariateDistribution>(); _ksiEstimator = new KsiEstimator <IMultivariateDistribution>(); _muEstimator = new MuMultivariateEstimator <IMultivariateDistribution>(); _sigmaEstimator = new SigmaMultivariateEstimator <IMultivariateDistribution>(); EstimatePi(_gammaEstimator.Estimate(@params)); EstimateTransitionProbabilityMatrix(_gammaEstimator.Estimate(@params), _ksiEstimator.Estimate(@params), null, _observations.Count); // Estimate observation probabilities var muParams = new MuEstimationParameters <IMultivariateDistribution> { Gamma = _gammaEstimator.Estimate(@params), Model = _currentModel, Normalized = _currentModel.Normalized, Observations = _observations }; var muVector = _muEstimator.Estimate(muParams); var sigmaVector = _sigmaEstimator.Estimate(new SigmaEstimationParameters <IMultivariateDistribution, double[][]>(muParams) { Mean = muVector }); for (var n = 0; n < _currentModel.N; n++) { _estimatedEmissions[n] = new NormalDistribution(muVector[n], sigmaVector[n]); } _estimatedModel = HiddenMarkovModelStateFactory.GetState(new ModelCreationParameters <IMultivariateDistribution> { Pi = _estimatedPi, TransitionProbabilityMatrix = _estimatedTransitionProbabilityMatrix, Emissions = _estimatedEmissions }); _estimatedModel.Normalized = Normalized; _estimatedModel.Likelihood = forwardBackward.RunForward(_observations, _estimatedModel); _likelihoodDelta = Math.Abs(Math.Abs(_currentModel.Likelihood) - Math.Abs(_estimatedModel.Likelihood)); Debug.WriteLine("Iteration {3} , Current {0}, Estimate {1} Likelihood delta {2}", _currentModel.Likelihood, _estimatedModel.Likelihood, _likelihoodDelta, maxIterations); }while (_currentModel != _estimatedModel && maxIterations > 0 && _likelihoodDelta > likelihoodTolerance); return(_estimatedModel); }