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Compute probabilities for the observations to belong to each of the components

em_tau.Rd

Supporting function for EM algorithm. Update the conditional probabilities of the components of the MixAR model (for E-step of EM algorithm).

Usage

em_tau(stdetk, prob, scale, pdf = dnorm)

em_tau_safe(stdetk, prob, scale, pdf = dnorm)

Details

em_tau and em_tau_safe compute the conditional probabilities of the components of the MixAR model (for the E-step of the EM algorithm). The two functions do the same computations but em_tau_safe, in addition, protects agains NaN's and infinite values in argument stdetk or obtained during computations.

Arguments

stdetk

standardised component residuals, a MixComp object.

prob

current estimates of the probabilities of the components, a numeric vector of length equal to the number of components in the model.

scale

scales (standard deviations) of the noise components, a numeric vector of length equal to the number of components in the model.

pdf

densities of the noise components.

Author

Georgi N. Boshnakov