MSARmdl_mle: Markov-switching autoregressive maximum likelihood estimation

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Markov-switching autoregressive maximum likelihood estimation

Description

This function computes estimate a Markov-switching autoregressive model using MLE.

Usage

MSARmdl_mle(theta_0, mdl_in, k, optim_options)

Arguments

theta_0	vector containing initial values to use in optimization
mdl_in	List with model properties (can be obtained from estimating linear model i.e., using ARmdl)
k	integer determining the number of regimes
optim_options	List containing maxit: maximum number of iterations. thtol: convergence criterion.

Value

List with model attributes

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