multivariate {segmentr}

Efficient Logarithmic Discrete Multivariate Likelihood estimation

Description

Estimate the likelihood of a given segment using the discrete multivariate estimation, implemented efficiently in C++

Usage

multivariate(data, na_action = function(d) d[, colSums(is.na(d)) == 0,
  drop = FALSE])

Arguments

data

Matrix to estimate the multivariate of. Each row is considered to be an observation, and each column is considered to be a different variable.

na_action

A function that is applied to the data parameter. Defaults to removing columns with NA.

Details

Calculates the discrete log likelihood multivariate estimation of a data matrix using an algorithm implemented in C++ for performance. This is intended to be used in conjunction with segment(), as the log likelihood function is executed multiple times, which makes it the bottleneck of the computation. Because the multivariate is so commonly used, this efficient implementation is provided.

Value

the estimate of the Discrete Maximum Likelihood for the dataframe provided.