MNloglike: Penalized Matrix-variate normal log-likelihood.
Description
Penalized Matrix-variate normal log-likelihood.
Usage
MNloglike(x, M, Sig, Delt, rhor, rhoc, qr = 2, qc = 2, Sigi = NULL,
Delti = NULL)
Arguments
x
Data matrix.
M
Mean matrix.
Sig
Row covariance matrix.
Delt
Column covariance matrix.
rhor
Row regularization parameter.
rhoc
Column regularization parameter.
qr
Row regularization norm. Either 1 or 2.
qc
Column regularization norm. Either 1 or 2.
Sigi
Row precision matrix. (optional).
Delti
Column precision matrix. (optional).
Value
valueLog-likelihood.
Details
For internal use.
References
G. I. Allen and R. Tibshirani, "Transposable regularized covariance
models with an application to missing data imputation", Annals of
Applied Statistics, 4:2, 764-790, 2010.