Description Usage Arguments Details Value References See Also
View source: R/loglikelihood.R
get_alpha_mt
computes the mixing weights based on
the logarithm of the multivariate normal densities in the definition of
the mixing weights.
1 2 3 4 5 6 7 8 9  get_alpha_mt(
M,
log_mvnvalues,
alphas,
epsilon,
conditional,
to_return,
also_l_0 = FALSE
)

M 

log_mvnvalues 
T x M matrix containing the log multivariate normal densities. 
alphas 
M x 1 vector containing the mixing weight pa 
epsilon 
the smallest number such that its exponent is wont classified as numerically zero
(around 
conditional 
a logical argument specifying whether the conditional or exact loglikelihood function should be used. 
to_return 
should the returned object be the loglikelihood value, mixing weights, mixing weights including value for alpha_{m,T+1}, a list containing loglikelihood value and mixing weights, the terms l_{t}: t=1,..,T in the loglikelihood function (see KMS 2015, eq.(13)), the densities in the terms, regimewise conditional means, regimewise conditional variances, total conditional means, total conditional variances, or quantile residuals? 
also_l_0 
return also l_0 (the first term in the exact loglikelihood function)? 
Note that we index the time series as p+1,...,0,1,...,T as in Kalliovirta et al. (2015).
Returns the mixing weights a matrix of the same dimension as log_mvnvalues
so
that the t:th row is for the time point t and m:th column is for the regime m.
Galbraith, R., Galbraith, J. 1974. On the inverses of some patterned matrices arising in the theory of stationary time series. Journal of Applied Probability 11, 6371.
Kalliovirta L. (2012) Misspecification tests based on quantile residuals. The Econometrics Journal, 15, 358393.
Kalliovirta L., Meitz M. and Saikkonen P. 2015. Gaussian Mixture Autoregressive model for univariate time series. Journal of Time Series Analysis, 36, 247266.
Meitz M., Preve D., Saikkonen P. 2021. A mixture autoregressive model based on Student's tdistribution. Communications in Statistics  Theory and Methods, doi: 10.1080/03610926.2021.1916531
Virolainen S. 2021. A mixture autoregressive model based on Gaussian and Student's tdistributions. Studies in Nonlinear Dynamics & Econometrics,doi: 10.1515/snde20200060
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.