logmvNormdensity {HMMmlselect}

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.