em_est_sigma {mixAR}R Documentation

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


[Package mixAR version 0.22.8 Index]