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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