Internal functions for EM estimation of MixAR models with Gaussian components: sums of products and crossproducts; M-step for MixAR estimation; estimation of autoregressive part of the model.
tauCorrelate(y, tau, order)
tau2arcoef(y, tau, order, est_shift = TRUE)
mixMstep(y, tau, order, index, est_shift = TRUE)For mixMstep, a MixAR model, an object of class MixARGaussian.
For tauCorrelate, a named list with the following components:
For tau2arcoef, a list with two components:
the shift (intercept) terms, a numeric vector
the AR coefficients as a list, whose i-th component contains the coefficients for component i (as a numeric vector)
time series.
conditional probabilties for the observations to belong to each of
the components, a MixComp object.
order of the MixAR model, numeric vector of length the number of mixture components.
indices of the observations to include in the likelihood
calculations, typically (p+1):n, where p is
max(order) and n=length(y).
if TRUE include shifts (intercepts) in the AR components, otherwise set them to zero.
mixMstep performs an M-step for estimation of MixAR models with
Gaussian components.
tauCorrelate computes crossproducts needed for EM estimation
of MixAR models with Gaussian components.
tau2arcoef computes the AR coefficients by solving
Yule-Walker-type equations for each component.