logliknormLR: Fast Computation of Marginal Predictive Loglikelihood
Description
Helper function which takes as input a vector-valued response, y,
a predictor matrix, X, a particular value of alpha, and init. It
returns as an output the marginal predictive loglikelihood of the
data given that value of alpha.
Usage
logliknormLR(yy, XX_aug, alpha, init)
Arguments
yy
T-length time series vector. y[1] represents the beginning of
the time eries.
XX_aug
[T x (p+1)] dimensional matrix of covariates. This will
include the intercept column.
alpha
PWD parameter we are calculating the marginal predictive
loglikelihood for.
init
integer representing the time point to begin computing marginal
predictive loglikelihood.
Value
Return a scalar value representing the marginal predictive
loglikelihood of the data given alpha.