Author: Corentin Lothode

# Introduction to smmR

#### Corentin Lothode

Start by loading the needed libraries:

    library(smmR)

In our case, we will need a special distribution:

    library(DiscreteWeibull)

Then, let us create a smmparametric object to represent the semi-Markov chain associated to the system:

    # State space
    states <- c("1", "2", "3")
    # Initial distribution
    alpha <- c(1, 0, 0)
    # Transition matrix
    p <- matrix(data = c(0, 1, 0,
                         0.95, 0, 0.05,
                         1, 0, 0), nrow = 3, byrow = TRUE)
    # Distribution matrix
    distr <- matrix(c(NA, "geom", NA,
                      "dweibull", NA, "dweibull",
                      "dweibull", NA, NA),
                    nrow = 3, ncol = 3, byrow = TRUE)
    param1 <- matrix(c(NA, 0.8, NA,
                       0.3, NA, 0.5,
                       0.6, NA, NA),
                     nrow = 3, ncol = 3, byrow = TRUE)
    param2 <- matrix(c(NA, NA, NA,
                       0.5, NA, 0.7,
                       0.9, NA, NA),
                     nrow = 3, ncol = 3, byrow = TRUE)
    parameters <- array(c(param1, param2), c(3, 3, 2))
    # Create smmparametric model
    factory <- smmparametric(states = states, init = alpha, ptrans = p,
                             type.sojourn = "fij", distr = distr, param = parameters)

After that, we are able to simulate a sequence of sample sizes \(M = 10,000\):

    M <- 10000
    seq <- simulate(object = factory, nsim = M)

Thanks to the `smmR` package, we can estimate any semi-Markov model with one or several discrete sequences. In our case, we are going to introduce a non-parametric estimation:

    estimate <- fitsmm(sequences = seq, states = states, type.sojourn = "fij")

The estimate \(\hat{p}\) of the transition matrix \(p\) is:

    print(x = estimate$ptrans, digits = 2)

See the vignette `textile-factory` for more details.