sigex.resid: Computes residuals from Gaussian likelihood of model

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes residuals from Gaussian likelihood of model

Description

Computes residuals from Gaussian likelihood of model

Usage

sigex.resid(psi, mdl, data.ts, debug = FALSE)

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

Value

A list with two elements resids: a N x (T-d) matrix of residuals, where d is the order of the full differencing polynomial. (A failure returns Inf.) x.acf: an array of dimension N x (T+1) x N of the autocovariances of the differenced model for lags 0 through T, corresponding to psi.

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