sigex.glr: Computes the difference of -2*log(Gaussian likelihood) for...

In tuckermcelroy/sigex: Ecce Signum: Multivariate Signal Extraction

Computes the difference of -2*log(Gaussian likelihood) for two models, the nested lik minus nesting lik

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.glr(data.ts, psi.nested, psi.nesting, mdl.nested, mdl.nesting)

Arguments

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).
psi.nested	psi of the nested model
psi.nesting	psi of the nesting model
mdl.nested	The specified nested sigex model, a list object
mdl.nesting	The specified nesting sigex model, a list object

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. This test can be applied to non-nested models, but the distribution won't be chi^2

Value

glr: difference of log likelihoods, dof: degrees of freedom, given by different in number of parameters

tuckermcelroy/sigex documentation built on Nov. 14, 2024, 3:28 p.m.