EMiter_MSVARXmdl function

EM algorithm iteration for Markov-switching VARX model

This function performs the one iteration (E-step and M-step) of the Expectation Maximization algorithm for Markov-switching VARX model.

EMiter_MSVARXmdl(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.

Returns

List with attributes from new iteration.