sigex.default: Initializes param with zeroes according to the constraints

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Initializes param with zeroes according to the constraints

Description

Background: param is the name for the model parameters entered into a list object with a more intuitive structure, whereas psi refers to a vector of real numbers containing all hyper-parameters (i.e., reals mapped bijectively to the parameter manifold)

Usage

sigex.default(mdl, data.ts, constraint)

Arguments

mdl	The specified sigex model, a list object
data.ts	A T x N matrix ts object (with no missing values) corresponding to N time series of length T
constraint	Matrix of the form [Q , C], with C (constraint.mat) the matrix of constraints and Q (constraint.vec) the vector of constraint constants, such that C psi = Q. Use NULL if there are no constraints

Details

Format: psi has three portions, psi = [xi,zeta,beta] xi ~ all hyper-parameters for covariance matrices zeta ~ all hyper-parameters for t.s. models beta ~ all regression parameters

Value

par.default: this is param, filled from a psi of all zeroes, subject to constraints. Will have form specified by mdl.

jlivsey/sigex documentation built on March 20, 2024, 3:17 a.m.