multivariate_mixture_density: multivariate_mixture_density

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

Description

Auxiliary function that computes probability density of mixture normal/t-distribution. Used when approximating marginal likelihood.

Usage

multivariate_mixture_density(x, EM_result, df_t, logconstnormal, logconstT)

Arguments

x	Data to compute the log likelihood.
EM_result	Parameter as a dataset, including $p for probability weight, $Mu for the mean of each mixture component, and $Sigma for the standard deviation of each mixture component.
df_t	Degree of freedom of the t-distribution. If df_t==0, then it is treated as a normal distribution.
logconstnormal	Leading constant for normal density function. Used when df_t==0.
logconstT	Leading constant for t-distribution density function. Used when df_t>0.

Details

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

Value

It returns the likelihood of the mixture normal/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.