R/EM_algorithm_K_SPOR.R

In HSPOR: Hidden Smooth Polynomial Regression for Rupture Detection

.EM_algorithm_K_SPOR <- function(X,Y,deg,timeT,mat_param,sigma2,constraint,EM_nbIter=20){

  nbT <- length(timeT)

  for(i in 1:EM_nbIter){

    obs_weights <- .Smoothing_Observations_weigths_K_SPOR(X,deg,timeT)
    regimes_prob <- .Regime_probability(X,Y,deg,timeT,mat_param,sigma2,obs_weights)

    FP_estimation <- .Fixed_point_method_K_SPOR(X,Y,deg,timeT,sigma2,obs_weights,regimes_prob,constraint)
    mat_param <- FP_estimation[[1]]
    sigma2 <- FP_estimation[[2]]
  }

  #Minus_Complete_log_likelihood
  MLL <- .Minus_Complete_log_likelihood(X,Y,deg,timeT,mat_param,sigma2,obs_weights)

  list(mat_param,sigma2,MLL)
}