sigex.lik: Computes -2*log(Gaussian likelihood) of model

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes -2*log(Gaussian likelihood) of model

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.lik(psi, mdl, data.ts, debug = TRUE)

Arguments

psi	A vector of all the real hyper-parameters
mdl	The specified sigex model, a list object
data.ts	A T x N matrix ts object; any values to be imputed must be encoded with NA in that entry. The NA is for missing value, or an enforced imputation (e.g. extreme-value adjustment).
debug	Set to TRUE if lik values should be printed to screen

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 Notes: handles missing values in data.ts, which are indicated by 1i

Value

Value of the divergence

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