EMiter_MSARXmdl {MSTest} | R Documentation |
EM algorithm iteration for Markov-switching ARX model
Description
This function performs the one iteration (E-step and M-step) of the Expectation Maximization algorithm for Markov-switching ARX model.
Usage
EMiter_MSARXmdl(mdl, EMest_output, k)
Arguments
mdl |
List with model attributes. |
EMest_output |
List with attributes from previous iteration. |
k |
Integer determining the number of regimes. |
Value
List with attributes from new iteration.
[Package MSTest version 0.1.5 Index]