mle_from_holq {tensr} | R Documentation |
Get MLE from output of holq
.
Description
From the output of holq
, this function will calculate the
MLEs for the component covariance matrices and for the total
variation parameter.
Usage
mle_from_holq(holq_obj)
Arguments
holq_obj |
The output returned from |
Details
The function simply takes the A[[i]]
output of holq
and returs A[[i]] %*% t(A[[i]])
. The estimate of the total
variation parameter is sqrt(sig ^ 2 / prod{p})
, whre p
is the
vector of dimensions of the data array and sig
is the output
from holq
.
Value
cov_mle
A list of positive definite matrices. These
are the MLEs for the component covariance matrices.
sig_mle
A numeric. This is an estimate of the "standard
deviation" form of the total variation parameter.
Author(s)
David Gerard.
References
Gerard, D., & Hoff, P. (2016). A higher-order LQ decomposition for separable covariance models. Linear Algebra and its Applications, 505, 57-84. https://doi.org/10.1016/j.laa.2016.04.033 http://arxiv.org/pdf/1410.1094v1.pdf
See Also
holq
.