mstil.logLik: This function estimate the value of log likelihood function

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

Description

This function estimate the value of log likelihood function

Usage

mstil.logLik(x, lambda, delta, Ainv, nu, u, control = list())

Arguments

x	matrix of quantiles of size n x k. Each row is taken as a quantile.
lambda	skewing matrix with k rows.
delta	location vector of size k.
Ainv	lower triangular matrix, where t(Ainv) * Ainv is the precision matrix.
nu	degree of freedom (>0).
u	(Optional) a m x k matrix, a set of samples generated from standard k-dimensional multivariate t distribution with degree of freedom nu.
control	list of control variables, see 'details'.

Details

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

numLikSample

a positive integer, represents the number of samples used to estimate the density and log-likelihood functions. By default 1e6.

conLevel

a value between 0.5 and 1, represents the 1 sided confidence level of the log-likelihood to be calculated. By default 0.95.

Value

a list with components:

logLikLower	the lower bound of the estimated log-likelihood function.
logLik	the estimate of the log-likelihood function.
logLikUpper	the upper bound of the estimated log-likelihood function.

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