| multivariate_mixture_density {HMMmlselect} | R Documentation |
multivariate_mixture_density
Description
Auxiliary function that computes probability density of mixture normal/t-distribution. Used when approximating marginal likelihood.
Usage
multivariate_mixture_density(x, EM_result, df_t, logconstnormal, logconstT)
Arguments
x |
Data to compute the log likelihood. |
EM_result |
Parameter as a dataset, including $p for probability weight, $Mu for the mean of each mixture component, and $Sigma for the standard deviation of each mixture component. |
df_t |
Degree of freedom of the t-distribution. If df_t==0, then it is treated as a normal distribution. |
logconstnormal |
Leading constant for normal density function. Used when df_t==0. |
logconstT |
Leading constant for t-distribution density function. Used when df_t>0. |
Details
See Manual.pdf in "inst/extdata" folder.
Value
It returns the likelihood of the mixture normal/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.