MSARXmdl_em: Estimation of Markov-switching ARX model by EM Algorithm
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
MSARXmdl_em R Documentation
Estimation of Markov-switching ARX model by EM Algorithm
Description
Estimate Markov-switching ARX model by EM algorithm. This function is used by MSARmdl which organizes the output and takes raw data as input.
Usage
MSARXmdl_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.
Hamilton, James D. 1990. “Analysis of time series subject to changes in regime.” Journal of econometrics, 45 (1-2): 39–70.
roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.
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| MSARXmdl_em | R Documentation |
Estimation of Markov-switching ARX model by EM Algorithm
Description
Estimate Markov-switching ARX model by EM algorithm. This function is used by MSARmdl which organizes the output and takes raw data as input.
Usage
MSARXmdl_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.
Hamilton, James D. 1990. “Analysis of time series subject to changes in regime.” Journal of econometrics, 45 (1-2): 39–70.
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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