This function evaluates the log-likelihood of a VLMC with covariates fitted
on a discrete time series. When the optional arguments `newdata`

is
provided, the function evaluates instead the log-likelihood for this (new)
discrete time series on the new covariates which must be provided through the
`newcov`

parameter.

## Usage

```
# S3 method for covlmc
loglikelihood(
vlmc,
newdata,
initial = c("truncated", "specific", "extended"),
ignore,
newcov,
...
)
```

## Arguments

- vlmc
the covlmc representation.

- newdata
an optional discrete time series.

- initial
specifies the likelihood function, more precisely the way the first few observations for which contexts cannot be calculated are integrated in the likelihood. Defaults to

`"truncated"`

. See below for details.- ignore
specifies the number of initial values for which the loglikelihood will not be computed. The minimal number depends on the likelihood function as detailed below.

- newcov
an optional data frame with the new values for the covariates.

- ...
additional parameters for loglikelihood.

## Value

an object of class `logLikMixVLMC`

and `logLik`

. This is a number,
the log-likelihood of the (CO)VLMC with the following attributes:

`df`

: the number of parameters used by the VLMC for this likelihood calculation`nobs`

: the number of observations included in this likelihood calculation`initial`

: the value of the`initial`

parameter used to compute this likelihood

## Details

The definition of the likelihood function depends on the value of the
`initial`

parameters, see the section below as well as the dedicated
vignette: `vignette("likelihood", package = "mixvlmc")`

.

## likelihood calculation

In a (CO)VLMC of `depth()`

=k, we need k past values in order to compute the
context of a given observation. As a consequence, in a time series `x`

, the
contexts of `x[1]`

to `x[k]`

are unknown. Depending on the value of `initial`

different likelihood functions are used to tackle this difficulty:

`initial=="truncated"`

: the likelihood is computed using only`x[(k+1):length(x)]`

`initial=="specific"`

: the likelihood is computed on the full time series using a specific context for the initial values,`x[1]`

to`x[k]`

. Each of the specific context is unique, leading to a perfect likelihood of 1 (0 in log scale). Thus the numerical value of the likelihood is identical as the one obtained with`initial=="truncated"`

but it is computed on`length(x)`

with a model with more parameters than in this previous case.`initial=="extended"`

(default): the likelihood is computed on the full time series using an extended context matching for the initial values,`x[1]`

to`x[k]`

. This can be seen as a compromised between the two other possibilities: the relaxed context matching needs in general to turn internal nodes of the context tree into actual context, increasing the number of parameters, but not as much as with "specific". However, the likelihood of say`x[1]`

with an empty context is generally not 1 and thus the full likelihood is smaller than the one computed with "specific".

In all cases, the `ignore`

first values of the time series are not included
in the computed likelihood, but still used to compute contexts. If `ignore`

is not specified, it is set to the minimal possible value, that is k for the
`truncated`

likelihood and 0 for the other ones. If it is specified, it must
be larger or equal to k for `truncated`

.

See the dedicated vignette for a more mathematically oriented discussion:
`vignette("likelihood", package = "mixvlmc")`

.

## Examples

```
## Likelihood for a fitted VLMC with covariates.
pc <- powerconsumption[powerconsumption$week == 5, ]
breaks <- c(
0,
median(powerconsumption$active_power, na.rm = TRUE),
max(powerconsumption$active_power, na.rm = TRUE)
)
labels <- c(0, 1)
dts <- cut(pc$active_power, breaks = breaks, labels = labels)
dts_cov <- data.frame(day_night = (pc$hour >= 7 & pc$hour <= 17))
m_cov <- covlmc(dts, dts_cov, min_size = 5)
ll <- loglikelihood(m_cov)
ll
#> 'log Lik.' -224.1199 (df= 5, nb obs.= 1005, initial="truncated")
attr(ll, "nobs")
#> [1] 1005
## Likelihood for new time series and covariates with previously
## fitted VLMC with covariates
pc_new <- powerconsumption[powerconsumption$week == 11, ]
dts_new <- cut(pc_new$active_power, breaks = breaks, labels = labels)
dts_cov_new <- data.frame(day_night = (pc_new$hour >= 7 & pc_new$hour <= 17))
ll_new <- loglikelihood(m_cov, newdata = dts_new, newcov = dts_cov_new)
ll_new
#> 'log Lik.' -248.89 (df= 5, nb obs.= 1005, initial="truncated")
attributes(ll_new)
#> $nobs
#> [1] 1005
#>
#> $df
#> [1] 5
#>
#> $initial
#> [1] "truncated"
#>
#> $class
#> [1] "logLikMixVLMC" "logLik"
#>
```