sigex.precision: Compares signal extraction MSE arising from multivariate fit...

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Compares signal extraction MSE arising from multivariate fit with the implied univariate fit.

Description

Compares signal extraction MSE arising from multivariate fit with the implied univariate fit.

Usage

sigex.precision(data.ts, param, mdl, sigcomps)

Arguments

data.ts	A T x N matrix ts object
param	Model parameters entered into a list object with an intuitive structure. This is an initial specification to start the nonlinear optimization routines
mdl	The specified sigex model, a list object
sigcomps	Indices of the latent components composing the signal

Value

ratio of mse to mse.uni, the signal extraction MSE for multivariate and univariate models

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