Get MLE from output of holq.

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Description

From the output of holq, this function will calculate the MLEs for the component covariance matrices and for the total variation parameter.

Usage

1
mle_from_holq(holq_obj)

Arguments

holq_obj

The output returned from holq.

Details

The function simply takes the A[[i]] output of holq and returs A[[i]] %*% t(A[[i]]). The estimate of the total variation parameter is sqrt(sig ^ 2 / prod{p}), whre p is the vector of dimensions of the data array and sig is the output from holq.

Value

cov_mle A list of positive definite matrices. These are the MLEs for the component covariance matrices.

sig_mle A numeric. This is an estimate of the "standard deviation" form of the total variation parameter.

Author(s)

David Gerard.

References

Gerard, D. C., & Hoff, P. D. (2014). A higher-order LQ decomposition for separable covariance models. arXiv preprint arXiv:1410.1094.

See Also

holq.

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