R_estep: Compute conditional covariance matrix for EM algorithms of Cao et al. (2000)
Description
Computes conditional covariance of OD flows for E-step of
EM algorithm from Cao et al. (2000) for their locally IID
model.
Usage
R_estep(lambda, phi, A, c, epsilon)
Arguments
lambda
numeric vector (length k) of mean OD flows
from last M-step
phi
numeric scalar scale for covariance matrix of
xt
A
routing matrix (m x k) for network being
analyzed
c
power parameter in model of Cao et al. (2000)
epsilon
numeric nugget to add to diagonal of
covariance for numerical stability
Value
conditional covariance matrix (k x k) of OD flows given
parameters
References
J. Cao, D. Davis, S. Van Der Viel, and B. Yu. Time-varying
network tomography: router link data. Journal of the
American Statistical Association, 95:1063-75, 2000.