logmvTdensity: logmvTdensity

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

Description

Auxiliary function that computes log-likelihood based on multivariate t-distribution. Used when approximating marginal likelihood.

Usage

logmvTdensity(x, mu, sqrt_inv_sigma, lgsqrt_det_sigma, df, d, logconstT)

Arguments

x	Data to compute the log likelihood.
mu	Mean of the t-distribution
sqrt_inv_sigma	Corresponds to the standard deviation of the t-distribution.
lgsqrt_det_sigma	Corresponds to the determinant of the variance-covariance matrix.
df	Degree of freedom of the t-distribution.
d	Dimension of the t-distribution.
logconstT	Leading constant for t-distribution density function.

Details

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

Value

It returns the log-likelihood of the multivariate student-t distribution.

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.