ExpectationM_MSVARXmdl {MSTest} | R Documentation |
Markov-switching VARX log-likelihood function
Description
This function computes the log-likelihood for a markov-switching VARX model and uses the Hamilton smoother to obtain smoothed probabilities of each state. This is also the expectation step in the Expectation Maximization algorithm for a Markov-switching autoregressive model.
Usage
ExpectationM_MSVARXmdl(theta, mdl, k)
Arguments
theta |
Vector of model parameters. |
mdl |
List with model attributes. |
k |
Integer determining the number of regimes. |
Value
List which includes log-likelihood and smoothed probabilities of each regime.
[Package MSTest version 0.1.5 Index]