EMaximization_HMmdl function

Maximization step of EM algorithm for Hidden Markov model

This function performs the maximization step of the Expectation Maximization algorithm for Hidden Markov models.

EMaximization_HMmdl(theta, mdl, MSloglik_output, k)

Arguments

• theta: Vector of model parameters.
• mdl: List with model attributes.
• MSloglik_output: List with output from ExpectationM_HMmdl.
• k: Integer determining the number of regimes.

Returns

List with new maximized parameters.