EM_calibration_gaussian {qch}

EM calibration in the case of the gaussian copula (unsigned)

Description

EM calibration in the case of the gaussian copula (unsigned)

Usage

EM_calibration_gaussian(
  Hconfig,
  F0Mat,
  F1Mat,
  fHconfig,
  R.init,
  Prior.init,
  Precision = 1e-06
)

Arguments

Hconfig

A list of all possible combination of H0 and H1 hypotheses generated by the GetHconfig() function.

F0Mat

a matrix containing the evaluation of the marginal cdf under H0 at each items, each column corresponding to a p-value serie.

F1Mat

a matrix containing the evaluation of the marginal cdf under H1 at each items, each column corresponding to a p-value serie.

fHconfig

a matrix containing config densities evaluated at each items, each column corresponding to a configurations.

R.init

the initialization of the correlation matrix of the gaussian copula parameter.

Prior.init

the initialization of prior probabilities for each of the H-configurations.

Precision

Precision for the stop criterion. (Default is 1e-6)

Value

A list of 2 objects 'priorHconfig' and 'Rcopula'. Object 'priorHconfig' is a vector of estimated prior probabilities for each of the H-configurations. Object 'Rcopula' is the estimated correlation matrix of the gaussian copula.