EMupdate {QRMlib}R Documentation

EM Update Step for Generalized Hyperbolic Estimation

Description

updates estimates of location (mu), dispersion (Sigma) and skewness (gamma) parameters in EM estimation of multivariate generalized hyperbolic distributions

Usage

EMupdate(data, mix.pars, mu, Sigma, gamma, symmetric, 
        scaling=TRUE, kvalue=1)

Arguments

data data matrix
mix.pars current values of lambda, chi and psi
mu current value of mu
Sigma current value of sigma
gamma current value of gamma
symmetric logical variable for elliptically symmetric case
scaling do we scale determinant of Sigma to be fixed value?
kvalue value of determinant in the case of scaling. If not scaling, you do not need to pass this parameter but can let R set its default.

Details

See pp 81-83 of QRM; in that case k is the determinant of the sample covariance matrix. ‘EM’ stands for the “Expectation-Maximization” type of algorithm used to fit proposed multivariate hyperbolic models to actual data.

Value

a list with updated estimates of mu (location), Sigma (dispersion) and gamma (skewness)

Author(s)

documentation by Scott Ulman for R-language distribution

See Also

fit.mNH


[Package QRMlib version 1.4.4 Index]