em_tau: Compute probabilities for the observations to belong to each...
In mixAR: Mixture Autoregressive Models

em_tau

R Documentation

Compute probabilities for the observations to belong to each of the components

Description

Supporting function for EM algorithm. Update the conditional probabilities of the components of the MixAR model (for E-step of EM algorithm).

Usage

em_tau(stdetk, prob, scale, pdf = dnorm)

em_tau_safe(stdetk, prob, scale, pdf = dnorm)

Arguments

`stdetk`	standardised component residuals, a `MixComp` object.
`prob`	current estimates of the probabilities of the components, a numeric vector of length equal to the number of components in the model.
`scale`	scales (standard deviations) of the noise components, a numeric vector of length equal to the number of components in the model.
`pdf`	densities of the noise components.

Details

em_tau and em_tau_safe compute the conditional probabilities of the components of the MixAR model (for the E-step of the EM algorithm). The two functions do the same computations but em_tau_safe, in addition, protects agains NaN's and infinite values in argument stdetk or obtained during computations.