estimateNormalizingConst: estimateNormalizingConst

In HMMmlselect: Determine the Number of States in Hidden Markov Models via Marginal Likelihood

Description

Auxiliary function that approximate the normalizing constant. Used when approximating marginal likelihood.

Usage

estimateNormalizingConst(SampDens, boolHMM, dft, RIS, IS, NsmpResmp, llUn, Mclust = TRUE)

Arguments

SampDens	The sample and density
boolHMM	Number that controls the method.
dft	Degree of freedom used in the t-distribution.
RIS	RIS in the algorithm.
IS	IS in the algorithm.
NsmpResmp	Number of resampling used in the algorithm.
llUn	Unnormalized log likelihood.
Mclust	Auxiliary variable. Set to TRUE.

Details

See Manual.pdf in "inst/extdata" folder.

Value

It returns the approximated normalizing constant.

References

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2019+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.

HMMmlselect documentation built on May 3, 2020, 9:05 a.m.