ExpectationM_MSARXmdl: Markov-switching ARX log-likelihood function

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Markov-switching ARX log-likelihood function

Description

This function computes the log-likelihood for a markov-switching autoregressive model and uses the Hamilton smoother to obtain smoothed probabilities of each state. This is also the expectation step in the Expectation Maximization algorithm for a Markov-switching ARX model.

Usage

ExpectationM_MSARXmdl(theta, mdl, k)

Arguments

theta	Vector of model parameters.
mdl	List with model attributes.
k	Integer determining the number of regimes.

Value

List which includes log-likelihood and smoothed probabilities of each regime.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.