max_step: The maximization step associated with the EM algorithm
In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization
max_step R Documentation
The maximization step associated with the EM algorithm
Description
For details see section 3.2. in Estimation of Impulse-Response
Functions with Dynamic Factor Models: A New Parametrization
available at https://arxiv.org/pdf/2202.00310.pdf.
Usage
max_step(out_smooth, tmpl_ss)
Arguments
out_smooth
the output of out_smooth
tmpl_ss
model template
Value
a list of elements
model_new
a state space model corresponding to the new estimated parameters
params_new
a vector of deep parameters
juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.
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| max_step | R Documentation |
The maximization step associated with the EM algorithm
Description
For details see section 3.2. in Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization available at https://arxiv.org/pdf/2202.00310.pdf.
Usage
max_step(out_smooth, tmpl_ss)
Arguments
out_smooth |
the output of |
tmpl_ss |
model template |
Value
a list of elements
model_new |
a state space model corresponding to the new estimated parameters |
params_new |
a vector of deep parameters |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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