mvstlikC {NPflow}

C++ implementation of multivariate skew t likelihood function for multiple inputs

Description

C++ implementation of multivariate skew t likelihood function for multiple inputs

Usage

mvstlikC(x, c, clustval, xi, psi, sigma, df, loglik = TRUE)

Arguments

x

data matrix of dimension p x n, p being the dimension of the data and n the number of data points

c

integer vector of cluster allocations with values from 1 to K

clustval

vector of unique values from c in the order corresponding to the storage of cluster parameters in xi, psi, and sigma

xi

mean vectors matrix of dimension p x K, K being the number of clusters

psi

skew parameter vectors matrix of dimension p x K

sigma

list of length K of variance-covariance matrices, each of dimensions p x p.

df

vector of length K of degree of freedom parameters.

loglik

logical flag or returning the log-likelihood instead of the likelihood. Default is TRUE.

Value

a list:

"indiv":

vector of likelihood of length n;

"clust":

vector of likelihood of length K;

"total":

total (log)-likelihood;

Author(s)

Boris Hejblum