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Likelihood
Takeshi Akuhara edited this page Jan 29, 2019
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For the likelihood, we mostly follow the approach of Bodin et al. (2012). Summary of the definition is as follows:
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Likelihood as multivariate Gaussian distribution
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Noise covariance matrix with r^2 decay
- σ_j is treated as a model parameter
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r_j is automatically determined from Gaussian low-pass filter using
- The inverse of C is calculated using singular value decomposition.
- Computing the determinant of C is not necessary becuase it is canceled out.
(C) 2018-2019 Takeshi Akuhara (Email: akuhara @ eri. u-tokyo.ac.jp)