em_est_dist {mixAR}

Optimise scale parameters in MixARgen models

Description

Optimise the scale parameters in MixAR models from class MixARgen. Internal function.

Usage

em_est_dist(tau, etk, parscore, sigma, nu, logpdf)

Arguments

tau

conditional probabilities, an object of class "MixComp", see 'Details'.

etk

component residuals, see 'Details'.

parscore

the score function(s), see 'Details'.

sigma

current values of the scale parameters, a numeric vector.

nu

current values of the parameters. w.r.t. which optimisation is done.

logpdf

the log of pdf as a function of the parameters.

Details

One or more of the error distributions of a MixAR model may have parameters that are considered unknown. In that case em_est_dist can be used to optimise with respect to them.

The representation of the error distributions in "MixARgen" models carries all the necessary information about parameters. em_est_dist works by extracting their current values from logpdf, passes them to the optimisation function (or equation solver) and stores the result back into logpdf. em_est_dist is quite general, as long as logpdf is prepared according to the conventions it expects (this is so if they are valid elements of the dist slot of "MixARgen" objects).

Value

the new values of the parameters