em_est_sigma {mixAR}

Update the scale parameters of MixAR models

Description

Calculates estimates of scale parameters of MixAR models from conditional probabilities and mixture ‘residuals’. Used in EM algorithm.

Usage

tauetk2sigmahat(tau, etk)

em_est_sigma(tau, etk, Fscore, sigma,
             dontfix = rep(TRUE, length(sigma)), compwise = FALSE)

Arguments

tau

the conditional probabilities for the groups, a "MixComp" object.

etk

component "residuals", MixComp object(?).

Fscore

the score function(s) of the noise distributions.

sigma

current values of the scale parameters.

compwise

if TRUE solve the equations component-wise, see 'Details.

dontfix

a logical vector containig TRUE in the positions of elements of sigma that are to be estimated.

Details

tauetk2sigmahat calculates estimates of the scale parameters for a MixAR time series with Gaussian components. There is an explicit formula in that case.

em_est_sigma calculates estimates of the scale parameters in the general case. The non-linear equations are solved using functions from package BB. The equations for the components can often be solved independently. When that is the case, compwise may speed things up a little.

Value

The new values of the scale parameters, a numeric vector