Evaluate the (penalized) (fused) likelihood

Functions that evaluate the (penalized) (fused) likelihood.

NLL(S, P)

PNLL(S, P, T, lambda)

NLL.fused(Slist, Plist, ns)

PNLL.fused(Slist, Plist, ns, Tlist, lambda)

Arguments

S, Slist

A (list of) positive semi definite sample covariance matrices.

P, Plist

A (list of) positive definite precision matrices.

T, Tlist

A (list of) positive definite target matrices.

lambda

A numeric penalty parameter. For the .fused functions, this is a penalty matrix.

ns

A numeric of sample sizes.

Value

A single number.

See also

ridgeP, ridgeP.fused

Author

Anders Ellern Bilgrau, Carel F.W. Peeters <cf.peeters@vumc.nl>, Wessel N. van Wieringen

Examples

ns <- c(4,5)
Slist <- createS(n = ns, p = 5)
Plist <- list(diag(5), diag(2,5))
Tlist <- list(diag(5), diag(5))

NLL(Slist[[1]], Plist[[1]])
#> [1] 3.609604
PNLL(Slist[[1]], Plist[[1]], Tlist[[1]], lambda = 1)
#> [1] 3.609604
NLL.fused(Slist, Plist, ns)
#> [1] 35.34165
PNLL.fused(Slist, Plist, ns, Tlist, lambda = diag(2))
#> [1] 37.84165