HMMmlestimate {HMMmlselect}

HMMmlestimate

Description

Auxiliary function that approximates the marginal likelihood.

Usage

HMMmlestimate(y, K, optionalfit = list())

Arguments

y

The data that the marginal likelihood is computed for.

K

Number of states.

optionalfit

Optional variables.

Details

See Manual.pdf in "inst/extdata" folder.

Value

It returns the approximated marginal likelihood.

References

Yang Chen, Cheng-Der Fuh, Chu-Lan Kao, and Samuel Kou (2019+) "Determine the number of states in hidden markov models via marginal likelihood." Submitted.