Fit a general MS-ARMA-GARCH model via the EM Algorithm in C++

Internal C++ function to orchestrate the EM estimation. Delegates all statistical calculations (likelihood, parameter estimation) to helper functions in R to interface with the tsgarch and tsmarch packages.

Usage

fit_ms_varma_garch_cpp(
  y,
  M,
  spec,
  model_type,
  control,
  diagnostics = NULL,
  verbose = FALSE
)

Arguments

y

A (T x k) matrix of (differenced) time series data.

M

The number of states.

spec

A list of model specifications from R.

model_type

"univariate" or "multivariate".

control

A list with max_iter and tol.

Value

A raw list with estimated parameters and results.