GetDoubleL function

Obtain log-likelihood and parameter estimates for a given break point.

Takes a time series with values x obtained at time t and a time break tbreak, and returns the estimates of $\mu$, $\sigma$ and $\tau$ (or $\rho$) as well as the negative log-likelihood of those estimates before and after the break. Mostly for use internally within GetBestBreak.

GetDoubleL(x, t, tbreak, ...)

Arguments

• x: vector of time series values.
• t: vector of times of measurements associated with x.
• tbreak: breakpoint to test (in terms of the INDEX within "t" and "x", not actual time value).
• ...: additional parameters to pass to GetRho.

Returns

a vector containing the parameters and the negative log-likelihoods in order: mu1, sigma1, tau1, LL1, mu2, sigma2, tau2, LL2

See Also

GetBestBreak uses this function, while this function uses GetRho

Author(s)

Eliezer Gurarie