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## 27.1 Stan functions

real hmm_marginal(matrix log_omega, matrix Gamma, vector rho)
Returns the log probability density of $$y$$, with $$x_n$$ integrated out at each iteration.
Available since 2.24

The arguments represent (1) the log density of each output, (2) the transition matrix, and (3) the initial state vector.

• log_omega: $$\log \omega_{kn} = \log p(y_n \mid x_n = k, \phi)$$, log density of each output,

• Gamma: $$\Gamma_{ij} = p(x_n = j | x_{n - 1} = i, \phi)$$, the transition matrix,

• rho: $$\rho_k = p(x_0 = k \mid \phi)$$, the initial state probability.

array[] int hmm_latent_rng(matrix log_omega, matrix Gamma, vector rho)
Returns a length $$N$$ array of integers over $$\{1, ..., K\}$$, sampled from the joint posterior distribution of the hidden states, $$p(x \mid \phi, y)$$. May be only used in transformed data and generated quantities.
Available since 2.24

matrix hmm_hidden_state_prob(matrix log_omega, matrix Gamma, vector rho)
Returns the matrix of marginal posterior probabilities of each hidden state value. This will be a $$K \times N$$ matrix. The $$n^\mathrm{th}$$ column is a simplex of probabilities for the $$n^\mathrm{th}$$ variable. Moreover, let $$A$$ be the output. Then $$A_{ij} = p(x_j = i \mid \phi, y)$$. This function may only be used in transformed data and generated quantities.
Available since 2.24