calculate_likelihood: calculate_likelihood

In EMLI: Computationally Efficient Maximum Likelihood Identification of Linear Dynamical Systems

calculate_likelihood

Description

Calculates the likelihood function value for given data and statistical measure values of the output-differenced version of the one-dimensional cumulative structural equation model with shock-error output measurement equation and assumptions of normality and independence. Suitable when there are no contradictions in statistical measure values.

Usage

calculate_likelihood(dat, params)

Arguments

dat	An (n + 1) x (m + 1) data frame of finite numeric elements (possibly except for row 1 columns 1 to m) containing observed input (columns 1 to m) and output (column m + 1) data of the original model.
params	A list consisting of 3 elements: 1) Sigma ((m + 1) x (m + 1) matrix of finite numeric elements); 2) sigma_y^2 (vector of length 1, finite numeric element); 3) mu ((m + 1) x 1 matrix of finite numeric elements).

Value

Calculated likelihood function value (vector of length 1, numeric element).

Examples

set.seed(1)

m <- 4
k <- 2

L <- matrix(runif((m + 1) * k, min = -10, max = 10), nrow = m + 1)
sigma <- matrix(runif(m + 2, min = 0, max = 10), nrow = m + 2)
mu <- matrix(runif(m + 1, min = -10, max = 10), nrow = m + 1)

data <- generate_data(100, L, sigma, mu)
estimated_parameters <- estimate_parameters(data, 0.00001)

calculate_likelihood(data, estimated_parameters)

EMLI documentation built on Nov. 21, 2022, 1:06 a.m.