em_est_sigma: Update the scale parameters of MixAR models
In GeoBosh/mixAR: Mixture Autoregressive Models

em_est_sigma

R Documentation

Update the scale parameters of MixAR models

Description

Calculates estimates of scale parameters of MixAR models from conditional probabilities and mixture ‘residuals’. Used in EM algorithm.

Usage

tauetk2sigmahat(tau, etk)

em_est_sigma(tau, etk, Fscore, sigma,
             dontfix = rep(TRUE, length(sigma)), compwise = FALSE)

Arguments

`tau`	the conditional probabilities for the groups, a `"MixComp"` object.
`etk`	component "residuals", MixComp object(?).
`Fscore`	the score function(s) of the noise distributions.
`sigma`	current values of the scale parameters.
`compwise`	if `TRUE` solve the equations component-wise, see 'Details.
`dontfix`	a logical vector containig `TRUE` in the positions of elements of `sigma` that are to be estimated.

Details

tauetk2sigmahat calculates estimates of the scale parameters for a MixAR time series with Gaussian components. There is an explicit formula in that case.

em_est_sigma calculates estimates of the scale parameters in the general case. The non-linear equations are solved using functions from package BB. The equations for the components can often be solved independently. When that is the case, compwise may speed things up a little.