updatebm function

Update regime-changing regression parameters

Update regime-changing beta

updatebm(ns, K, s, s2, B0, p, ZU)

Arguments

• ns: The number of hidden states
• K: The dimensionality of Z
• s: Latent state vector
• s2: The variance of error
• B0: The prior variance of beta
• p: The rank of X
• ZU: Z - ULU

Returns

A vector of regime-changing regression parameters