sigex.whittle: Computes Whittle likelihood of model

In jlivsey/sigex: Ecce Signum: Multivariate Signal Extraction

Computes Whittle likelihood of model

Description

Computes Whittle likelihood of model

Usage

sigex.whittle(psi, mdl, data.ts)

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 missing values must be encoded with NA in that entry

Value

Returns Whittle likelihood, evaluated at Fourier frequencies corresponding to model, for differenced time series, with hyper-parameter psi.

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