MSVARXmdl_em: Estimation of Markov-switching VARX model by EM Algorithm

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Estimation of Markov-switching VARX model by EM Algorithm

Description

Estimate Markov-switching VARX model by EM algorithm. This function is used by MSVARmdl which organizes the output and takes raw data as input.

Usage

MSVARXmdl_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.

Krolzig, Hans-Martin. 1997. “The markov-switching vector autoregressive model.”. Springer.

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