logmvNormdensity {HMMmlselect} | R Documentation |
logmvNormdensity
Description
Auxiliary function that computes log-likelihood based on multivariate t-distribution. Used when approximating marginal likelihood.
Usage
logmvNormdensity(x, mu, sqrt_inv_sigma, lgsqrt_det_sigma, d, logconstnormal)
Arguments
x |
Data to compute the log likelihood. |
mu |
Mean of the normal distribution |
sqrt_inv_sigma |
Corresponds to the standard deviation of the normal distribution. |
lgsqrt_det_sigma |
Corresponds to the determinant of the variance-covariance matrix. |
d |
Dimension of the normal distribution. |
logconstnormal |
Leading constant for normal density function. |
Details
See Manual.pdf in "inst/extdata" folder.
Value
It returns the log-likelihood of the multivariate student-t distribution.
References
Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2019+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.
[Package HMMmlselect version 0.1.6 Index]