GetDoubleL {bcpa}

Obtain log-likelihood and parameter estimates for a given break point.

Description

Takes a time series with values x obtained at time t and a time break tbreak, and returns the estimates of \mu, \sigma and \tau (or \rho) as well as the negative log-likelihood of those estimates before and after the break. Mostly for use internally within GetBestBreak.

Usage

GetDoubleL(x, t, tbreak, ...)

Arguments

x

vector of time series values.

t

vector of times of measurements associated with x.

tbreak

breakpoint to test (in terms of the INDEX within "t" and "x", not actual time value).

...

additional parameters to pass to GetRho.

Value

a vector containing the parameters and the negative log-likelihoods in order: mu1, sigma1, tau1, LL1, mu2, sigma2, tau2, LL2

Author(s)

Eliezer Gurarie

See Also

GetBestBreak uses this function, while this function uses GetRho