EMupdate {QRMlib} | R Documentation |
updates estimates of location (mu), dispersion (Sigma) and skewness (gamma) parameters in EM estimation of multivariate generalized hyperbolic distributions
EMupdate(data, mix.pars, mu, Sigma, gamma, symmetric, scaling=TRUE, kvalue=1)
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. |
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.
a list with updated estimates of mu (location), Sigma (dispersion) and gamma (skewness)
documentation by Scott Ulman for R-language distribution