HMmdl_em: Estimation of Hidden Markov model by EM Algorithm
In roga11/MSTest: Hypothesis Testing for Markov Switching Models

HMmdl_em

R Documentation

Estimation of Hidden Markov model by EM Algorithm

Description

Estimate Hidden Markov model by EM algorithm. This function is used by HMmdl which organizes the output and takes raw data as input.

Usage

HMmdl_em(theta_0, mdl, k, optim_options)

Arguments

`theta_0`	vector with initial values for parameters.
`mdl`	List with model attributes.
`k`	Integer determining the number of regimes.
`optim_options`	List with optimization options.

Value

List with model results.

References

Dempster, A. P., N. M. Laird, and D. B. Rubin. 1977. “Maximum Likelihood from Incomplete Data via the EM Algorithm.” Journal of the Royal Statistical Society. Series B 39 (1): 1–38.

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