getObjFun {simts} | R Documentation |
Retrieve GMWM starting value from Yannick's objective function
Description
Obtains the GMWM starting value given by Yannick's objective function optimization
Usage
getObjFun(theta, desc, objdesc, model_type, omega, wv_empir, tau)
Arguments
theta |
A vec with dimensions N x 1 that contains user-supplied initial values for parameters
|
desc |
A vector<string> indicating the models that should be considered.
|
objdesc |
A field<vec> containing a list of parameters (e.g. AR(1) = c(1,1), ARMA(p,q) = c(p,q,1))
|
model_type |
A string containing the model type. Either 'imu' or 'ssm'
|
omega |
A mat that is the inverse of the diagonal of the V matrix.
|
wv_empir |
A vec containing the empirical wavelet variance.
|
tau |
A vec that contains the scales of 2^(1:J), where J is the number of scales created by the decomposition.
|
Value
A double
that is the value of the Objective function under Yannick's starting algorithm
[Package
simts version 0.2.2
Index]