# compute_LICORS_loglik: Log-likelihood of LICORS model In LICORS: Light Cone Reconstruction of States - Predictive State Estimation From Spatio-Temporal Data

## Description

Computes the average log-likelihood \frac{1}{N} \ell(\mathbf{W}; \mathcal{D}) as a function of the weight matrix \mathbf{W} and the predictive state distributions P(X = x \mid S = s_j) \approx P(X = x \mid \mathbf{W}_j) for all j = 1, …, K. See References.

## Usage

 1 2 compute_LICORS_loglik(weight.matrix, pdfs.FLC, lambda = 0, penalty = "entropy", q = 2, base = exp(1)) 

## Arguments

 weight.matrix N \times K weight matrix pdfs.FLC an N \times K matrix containing the estimates of all K FLC densities evaluated at all N sample FLCs. lambda regularization parameter. Default: lambda=0 (penalty and q will be ignored in this case). penalty type of penalty: c("entropy", "1-Lq", "lognorm"). Default: "entropy" base logarithm base for the "entropy" penalty. Default: base = 2. Any other real number is allowed; if base = "num.states" then it will internally assign it base = ncol(weight.matrix). q exponent for L_q norm.

LICORS documentation built on May 29, 2017, 1:02 p.m.