mixSubsolve | R Documentation |

Solve the linear sub-system arising in the M-step of the EM algorithm
for MixAR models with Gaussian noise components. This gives estimates
of the parameters of the `k`

th AR component of the model.

```
mixSubsolve(k, pk, Stau, Stauy, Stauyy, shift, tol = 1e-07)
```

`k` |
which component, an integer. |

`pk` |
AR order of the |

`Stau` , `Stauy` , `Stauyy` |
sums and cross-sums needed to form the system. |

`shift` |
If |

`tol` |
tolerance, only used in case of trouble, see Details. |

`mixSubsolve`

forms and solves a linear subsytem to obtain
estimates of the AR parameters (and the shift, if `shift`

is
`TRUE`

) for the `k`

-th MixAR component.

First, `solve()`

is tried. If it reports that the system is
(numerically) singular, a solution is computed using SVD with
tolerance `tol`

.

Note that argument `tol`

is not used in the call to
`solve()`

. The net effect is that `solve()`

computes the
solution with its very small default tollerance. Probably I wanted
discontinuity during optimisation, which could result if using a
larger tolerance, and only resort to that if absolutely needed.

I don't remember why I used pseudo-inverse in `mixSubsolve()`

,
when `solve()`

has a similar `tol`

argument for its
QR-decomposition.

Georgi N. Boshnakov

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