ngme_noise: ngme noise specification

In ngme2: Linear Latent Non-Gaussian Models with Flexible Distributions

ngme noise specification

Description

Function for specifying ngme noise. Please use noise_nig and noise_normal for simpler usage. Use ngme_noise_types() to check all the available types.

Usage

ngme_noise(
  noise_type,
  mu = 0,
  sigma = 1,
  nu = 1,
  B_mu = NULL,
  theta_mu = NULL,
  B_sigma = NULL,
  theta_sigma = NULL,
  B_nu = NULL,
  theta_nu = NULL,
  theta_sigma_normal = NULL,
  B_sigma_normal = NULL,
  fix_theta_mu = FALSE,
  fix_theta_sigma = FALSE,
  fix_rho = FALSE,
  fix_theta_sigma_normal = FALSE,
  fix_theta_nu = FALSE,
  V = NULL,
  fix_V = FALSE,
  single_V = FALSE,
  share_V = FALSE,
  corr_measurement = FALSE,
  index_corr = NULL,
  map_corr = NULL,
  nu_lower_bound = 0,
  rho = double(0),
  prior = NULL,
  ...
)

noise_normal(
  sigma = NULL,
  theta_sigma = NULL,
  B_sigma = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

noise_nig(
  mu = NULL,
  sigma = NULL,
  nu = NULL,
  V = NULL,
  theta_mu = NULL,
  theta_sigma = NULL,
  theta_nu = NULL,
  nu_lower_bound = 0,
  B_mu = matrix(1),
  B_sigma = matrix(1),
  B_nu = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

noise_gal(
  mu = NULL,
  sigma = NULL,
  nu = NULL,
  V = NULL,
  theta_mu = NULL,
  theta_sigma = NULL,
  theta_nu = NULL,
  nu_lower_bound = 0.01,
  B_mu = matrix(1),
  B_sigma = matrix(1),
  B_nu = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

noise_skew_t(
  mu = NULL,
  sigma = NULL,
  nu = NULL,
  theta_mu = NULL,
  theta_sigma = NULL,
  theta_nu = NULL,
  nu_lower_bound = 0.01,
  B_mu = matrix(1),
  B_sigma = matrix(1),
  B_nu = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

noise_t(
  nu = NULL,
  theta_nu = NULL,
  nu_lower_bound = 0,
  B_nu = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

noise_normal_nig(
  sigma_normal = NULL,
  mu = NULL,
  sigma_nig = NULL,
  nu = NULL,
  V = NULL,
  theta_mu = NULL,
  theta_sigma_nig = NULL,
  theta_sigma_normal = NULL,
  theta_nu = NULL,
  B_mu = matrix(1),
  B_sigma_nig = matrix(1),
  B_sigma_normal = matrix(1),
  B_nu = matrix(1),
  corr_measurement = FALSE,
  index_corr = NULL,
  ...
)

Arguments

noise_type	type of noise, "normal", "nig", "gal", "t", "skew_t"
mu	specify the NIG noise parameter mu, see ?nig
sigma	specify the noise parameter sigma, see ?nig
nu	specify the noise parameter nu, see ?nig and ?gal
B_mu	Basis matrix for mu (if non-stationary)
theta_mu	specify a non-stationary noise using theta_mu
B_sigma	Basis matrix for sigma (if non-stationary)
theta_sigma	specify a non-stationary noise using theta_sigma
B_nu	Basis matrix for nu (if non-stationary)
theta_nu	specify a non-stationary noise using theta_nu
theta_sigma_normal	for normal nosie with nig noise sharing same parameter
B_sigma_normal	for normal nosie with nig noise sharing same parameter
fix_theta_mu	fix the parameter of theta_mu
fix_theta_sigma	fix the parameter of theta_sigma, can be a single logical value or a vector of logical values with length equal to length(theta_sigma)
fix_rho	fix the parameter of rho
fix_theta_sigma_normal	fix the parameter of sigma_normal, used in noise_normal_nig()
fix_theta_nu	fix the parameter of nu
V	start value for V
fix_V	fix the sampling of V gives Y|W ~ N(mean * sigma, sigma^2)
single_V	TRUE if V is a single number
share_V	used only for bivariate model
corr_measurement	TRUE if we use correlated measurement noise
index_corr	used when corr_measurement=TRUE, indicate which observation has correlation
map_corr	1d, 2d, or formula, used when corr_measurement=TRUE, specify use which covariate to infer the index_corr.
nu_lower_bound	specify the lower bound of parameter nu; effective parametrization is nu = nu_lower_bound + \exp(B_\nu \theta_\nu) so theta_nu remains unconstrained. Default 0.
rho	used when corr_measurement=TRUE, starting point for correlation
prior	prior specification created by priors(...). Supported keys are mu, sigma, and nu.
...	additional arguments
sigma_normal	for normal nosie with nig noise sharing same parameter
sigma_nig	similar to sigma_normal
theta_sigma_nig	similar to theta_sigma_normal
B_sigma_nig	similar to B_sigma_nig

Details

The parameterization is given in ?nig and ?gal. Moreover, for specifying non-stationary mu and sigma, nu

\mu = B_{\mu} \theta_{\mu},

and

\sigma = \exp (B_{\sigma} \theta_{\sigma}),

\nu = \nu_{\mathrm{lower}} + \exp (B_{\nu} \theta_{\nu}).

Value

a list of specification of noise

Examples

noise_normal(sigma = 2)
noise_nig(mu = 1, sigma = 2, nu = 1)
noise_gal(mu = 1, sigma = 2, nu = 1)
noise_skew_t(mu = 0, sigma = 1, nu = 5)
noise_t(nu = 5)

ngme2 documentation built on May 20, 2026, 9:10 a.m.