EM_calibration_gaussian_memory {qch}

EM calibration in the case of the gaussian copula (unsigned) with memory management

Description

EM calibration in the case of the gaussian copula (unsigned) with memory management

Usage

EM_calibration_gaussian_memory(
  Logf0Mat,
  Logf1Mat,
  F0Mat,
  F1Mat,
  Prior.init,
  R.init,
  Hconfig,
  Precision = 1e-06,
  threads_nb
)

Arguments

Logf0Mat

a matrix containing the log(f0(xi_q))

Logf1Mat

a matrix containing the log(f1(xi_q))

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.

Prior.init

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

R.init

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

Hconfig

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

Precision

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

threads_nb

The number of threads to use.

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.