R/svll.R

In Hariharasubramanyam/metricsComplete:

svll <- function(omega, y, eta_sim, u_sim, alpha_up, alpha_wt){
  
  N           <- length(y)
  P           <- length(alpha_up)
  
  constant    <- omega[1]
  phi         <- omega[2]
  tausq       <- omega[3]
  
  alpha_up_pr <- as.data.frame(matrix(0,N,4))
  loglik      <- 0
  
  for (i in 1:N){
    alpha_pr  <- constant + (phi * alpha_up) + (sqrt(tausq) * eta_sim[,i])
    lik       <- dnorm( y[i]*rep(1, P), rep(0, P), exp(alpha_pr/2) ) 
    if (is.finite( log(mean(lik))) == T){
      loglik <- loglik - log( mean( lik))
    }
    else {loglik <- Inf}
    alpha_wt  <- lik
    alpha_up  <- csir(alpha_pr,alpha_wt,u_sim[,i])
    
    alpha_up_pr[i,1]   <- mean( alpha_up )
    alpha_up_pr[i,2]   <- mean( alpha_pr )
    alpha_up_pr[i,3:4] <- quantile( alpha_pr , c(0.05, 0.95))
  }
  
  loglik <- loglik/N;
  return(loglik)
}