fmmstil.fitness: This function returns the log likelihood, ICL, AIC, BIC, and...

In henrylobster/mstil: 'Multivariate Skew t Distribution with Independent Logistic Skewing Function (MSTIL)'

Description

This function returns the log likelihood, ICL, AIC, BIC, and group memberships for fmmstil

Usage

fmmstil.fitness(x, param, u, control = list())

Arguments

x	matrix of quantiles of size n x k. Each row is taken as a quantile.
param	list of lists of parameters, contains list of omega, list of lambda, list delta, list of Ainv, and list of nu.
u	(Optional) list of K m x k matrices, each matrix contain samples generated from standard k-dimensional multivariate t distribution with degree of freedom of the K-th cluster.
control	list of control variables, see 'details'.

Details

The control argument is a list that accepts the following components.

numLikSample

number of samples used to estimate the density and log-likelihood functions. By default 1e6.

Value

a list with components:

logLik	the value of log-likelihood.
ICL	the value of integrated completed log-likelihood.
AIC	the value of Akaike information criterion.
BIC	the value of Bayesian information criterion.
clust	the estimated group membership.

henrylobster/mstil documentation built on Sept. 25, 2020, 3:48 p.m.