msmbayes

msmbayes is an R package for Bayesian multi-state modelling of intermittently-observed data.

It is similar to the msm package. It supports the following models:

• Markov models for intermittently-observed state data

• Hidden Markov models for intermittently-observed, misclassified (discrete) state data

• Phase-type semi-Markov models for intermittently-observed state data

Models are fitted with Bayesian estimation, via any of the algorithms available in Stan, whereas msm uses only maximum likelihood.

Advantages of msmbayes compared to msm

• Informative priors can represent background information

• Prior information can also help to stabilise model fitting

• Automatic, efficient uncertainty quantification for any model output

• Phase-type models with any number of phases are supported, though these have not been investigated much

Limitations of msmbayes compared to msm

• "Exact death time" observation schemes are not supported (but models can still have absorbing states, or any state structure).

• Continuously-observed processes (exacttimes in msm()) are not supported.

• "Censored states" are not supported.

• Equality constraints and fixed parameters are not supported. However, parameters can be constrained through their prior distributions.

• Time-inhomogeneous models specified through pci in msm() are not supported. However, models with time-varying intensities can still be specified through a time-dependent covariate (e.g. time itself), which assumes that intensities are constant between successive observations of the state.

• Hidden Markov models with general outcome distributions are not supported. The only HMMs supported are those where the observed state space is the same as (or a subset of) the true state space. This includes misclassification and phase-type models.

• Multivariate hidden Markov models are not supported.

• Fewer output functions.

• More limited documentation and worked examples.

Getting started

Examples of using msmbayes are given in: vignette("examples").

Installation

Warning: this package is experimental. Some knowledge of Bayesian analysis is needed to develop and interpret models with it!

## install,packages("remotes") # if need be
remotes::install_github("chjackson/msmbayes")

If you use it, please give feedback on github issues, or by email.