DP_EM_M_step: DP EM M-step Function

In ericchen12377/mixDP: Mixture Models with Dirichlet Process

Description

M-step to calculate the coefficients and covariance matrix in EM algorithm for DP

Usage

DP_EM_M_step(
  Ymatrix,
  Xmatrix,
  t,
  N,
  pden.post,
  VarMatrix,
  Beta,
  K,
  Pcluster,
  VP,
  alpha
)

Arguments

Ymatrix	matrix of dependent variables, multiple dimensions eligible
Xmatrix	matrix of independent variables
t	length of trajectory
N	number of trajectories
pden.post	probablity density from E-step
VarMatrix	covariance matrix
Beta	coefficient matrix
K	number of clusters
Pcluster	weights of clusters
VP	sequence of i.i.d. random variables distributed as Beta(1,alpha), suppose to be infinite for DP, otherwise truncated by K
alpha	hyperparameter with a constant value

Value

list of outputs used for M-step

ericchen12377/mixDP documentation built on June 23, 2021, 12:02 p.m.