MSARmdl_em {MSTest} | R Documentation |
Estimation of Markov-switching autoregressive model by EM Algorithm
Description
Estimate Markov-switching autoregressive model by EM algorithm. This function is used by MSARmdl
which organizes the output and takes raw data as input.
Usage
MSARmdl_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.
[Package MSTest version 0.1.5 Index]