mig_kdens_arma function

MIG kernel density estimator

Given a data matrix over a half-space defined by beta, compute the log density taking in turn an observation in newdata

as location vector and computing the kernel density estimate.

mig_kdens_arma(x, newdata, Omega, beta, logd)

Arguments

• x: n by d matrix of quantiles
• newdata: matrix of new observations at which to evaluated the kernel density
• Omega: d by d positive definite scale matrix $\boldsymbol{\Omega}$
• beta: d vector $\boldsymbol{\beta}$ defining the half-space through $\boldsymbol{\beta}^{\top}\boldsymbol{\xi}>0$

Returns

the value of the likelihood cross-validation criterion