chowlin_likelihood: Likelihood function for Chow-Lin or Litterman temporal...
In DisaggregateTS: High-Dimensional Temporal Disaggregation
View source: R/chowlin_likelihood.R
chowlin_likelihood R Documentation
Likelihood function for Chow-Lin or Litterman temporal disaggregation.
Description
This function computes the likelihood function used in temporal disaggregation to find the optimal \rho parameter.
It is used in conjunction with disaggregate to estimate the autocorrelation coefficient \rho.
Usage
chowlin_likelihood(Y, X, vcov)
Arguments
Y
The low-frequency response series (an n_l \times 1 matrix).
X
The aggregated high-frequency indicator series (an n_l \times p matrix).
vcov
Aggregated variance-covariance matrix for the Chow-Lin or Litterman residuals.
Value
The log-likelihood value for the given parameters.
DisaggregateTS documentation built on Oct. 31, 2024, 5:09 p.m.
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View source: R/chowlin_likelihood.R
| chowlin_likelihood | R Documentation |
Likelihood function for Chow-Lin or Litterman temporal disaggregation.
Description
This function computes the likelihood function used in temporal disaggregation to find the optimal \rho parameter.
It is used in conjunction with disaggregate to estimate the autocorrelation coefficient \rho.
Usage
chowlin_likelihood(Y, X, vcov)
Arguments
Y |
The low-frequency response series (an |
X |
The aggregated high-frequency indicator series (an |
vcov |
Aggregated variance-covariance matrix for the Chow-Lin or Litterman residuals. |
Value
The log-likelihood value for the given parameters.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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