MCECMupdate {QRMlib} | R Documentation |
updates estimates of mixing parameters in EM estimation of generalized hyperbolic
MCECMupdate(data, mix.pars, mu, Sigma, gamma, optpars, optfunc, xieval=FALSE)
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 |
optpars |
parameters we need to optimize over (may differ from case to case) |
optfunc |
the function to be optimized |
xieval |
is it necessary to evaluate the log moment xi? |
see Algorithm 3.14, steps (5) and (6) on page 83 of QRM
list containing new estimates of mixing parameters as well as convergence information for optimization