EMaximization_MSVARXmdl {MSTest}R Documentation

Maximization step of EM algorithm for Markov-switching VARX model

Description

This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching VARX model.

Usage

EMaximization_MSVARXmdl(theta, mdl, MSloglik_output, k)

Arguments

theta

Vector of model parameters.

mdl

List with model attributes.

MSloglik_output

List with output from ExpectationM_MSVARmdl.

k

Integer determining the number of regimes.

Value

List with new maximized parameters.


[Package MSTest version 0.1.5 Index]