EMaximization_MSARXmdl function

Maximization step of EM algorithm for Markov-switching ARX model

This function performs the maximization step of the Expectation Maximization algorithm for Markov-switching ARX model.

EMaximization_MSARXmdl(theta, mdl, MSloglik_output, k)

Arguments

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

Returns

List with new maximized parameters.