ldhmm.mllk: Computing the minus log-likelihood (MLLK)

In ldhmm: Hidden Markov Model for Financial Time-Series Based on Lambda Distribution

Computing the minus log-likelihood (MLLK)

Description

This utility computes the MLLK. It is typically invoked by the MLE optimizer. (Zucchini, 3.2)

Usage

ldhmm.mllk(object, x, mllk.print.level = 0)

Arguments

object	an input ldhmm object to provide static reference, such as m, param.nbr, stationary.
x	numeric, the observations.
mllk.print.level	numeric, this argument determines the level of printing which is done during the minimization process. The default value of 0 means that no printing occurs, a value of 1 or greater means some tracing information is printed.

Value

an ldhmm object containing results of MLE optimization

Author(s)

Stephen H. Lihn

ldhmm documentation built on May 29, 2024, 7:05 a.m.