HMmdl_mle function

Hidden Markov model maximum likelihood estimation

This function computes estimate a Hidden Markov model using MLE.

HMmdl_mle(theta_0, mdl_in, k, optim_options)

Arguments

• theta_0: vector containing initial values to use in optimization

• mdl_in: List with model properties (can be obtained from estimating linear model i.e., using ARmdl)

• k: integer determining the number of regimes

• optim_options: List containing

  • maxit: maximum number of iterations.
  • thtol: convergence criterion.

Returns

List with model attributes