logLike_MSARXmdl_min {MSTest}R Documentation

Markov-switching ARX log-likelihood objective function (minimization version)

Description

This function computes the (negative) log-likelihood for a markov-switching ARX model.

Usage

logLike_MSARXmdl_min(theta, mdl, k)

Arguments

theta

Vector of model parameters.

mdl

List with model attributes.

k

integer determining the number of regimes.

Value

Negative log-likelihood value.


[Package MSTest version 0.1.5 Index]