MSVARXmdl_em {MSTest} | R Documentation |
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.
[Package MSTest version 0.1.5 Index]