gauss_loo: Leave-one-out cross-validation for Gaussian kernel density...

In mig: Multivariate Inverse Gaussian Distribution

Leave-one-out cross-validation for Gaussian kernel density estimation

Description

Given a data matrix, compute the log density using leave-one-out cross validation, taking in turn an observation as location vector and computing the density of the resulting mixture.

Usage

gauss_loo(x, Sigma, logweights)

Arguments

x	n by d matrix of observations
Sigma	smoothing positive-definite matrix
logweights	vector of log weights

Value

a vector of values for the weighted leave-one-out likelihood

mig documentation built on April 11, 2025, 5:45 p.m.