Scores

Scores

All the scores we use are not depend on the true value.

• Likelihood: \[ log |\Omega| - tr (\Sigma_n \Omega) \]

• F-norm of error: \[ ||\frac{1}{2}\Sigma_n\Omega + \frac{1}{2}\Omega\Sigma_n - I||_F \] which is first order condition for Hyvärinen score for Gaussian

• prediction error \[ \sum_j (X_j - (\sum_{i \neq j} - \Omega_{ij}/\Omega_{jj} X_i))^2 \] this is for one observation, we have n observation, so just add them up.

Session Information

sessionInfo()

R version 3.3.0 (2016-05-03)
Platform: x86_64-apple-darwin13.4.0 (64-bit)
Running under: OS X 10.12.3 (unknown)

locale:
[1] en_US.UTF-8/en_US.UTF-8/en_US.UTF-8/C/en_US.UTF-8/en_US.UTF-8

attached base packages:
[1] stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] workflowr_0.3.0 rmarkdown_1.3  

loaded via a namespace (and not attached):
 [1] backports_1.0.5 magrittr_1.5    rprojroot_1.2   htmltools_0.3.5
 [5] tools_3.3.0     rstudioapi_0.6  yaml_2.1.14     Rcpp_0.12.9    
 [9] stringi_1.1.2   knitr_1.15.1    git2r_0.18.0    stringr_1.1.0  
[13] digest_0.6.12   evaluate_0.10