EMaximization_MSVARmdl: Maximization step of EM algorithm for Markov-switching vector...
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
EMaximization_MSVARmdl R Documentation
Maximization step of EM algorithm for Markov-switching vector autoregressive model
Description
This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching vector autoregressive model.
Usage
EMaximization_MSVARmdl(theta, mdl, MSloglik_output, k)
Arguments
theta
Vector of model parameters.
mdl
List with model attributes.
MSloglik_output
List with output from ExpectationM_MSVARmdl.
k
Integer determining the number of regimes.
Value
List with new maximized parameters.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| EMaximization_MSVARmdl | R Documentation |
Maximization step of EM algorithm for Markov-switching vector autoregressive model
Description
This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching vector autoregressive model.
Usage
EMaximization_MSVARmdl(theta, mdl, MSloglik_output, k)
Arguments
theta |
Vector of model parameters. |
mdl |
List with model attributes. |
MSloglik_output |
List with output from |
k |
Integer determining the number of regimes. |
Value
List with new maximized 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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