The function BEKK11 from the library MTS uses nlminb(start = par, objective = mlikeG, RTN = RTN, include.mean = include.mean, lower = c1, upper = c2) to optimize and thereby fit the BEKK model. Unfortunately, R uses only one core to optimize the function. This takes ages. Is there any way I can get R to use more cores on nlminb()? I have used the library doparallel before but this library only applies to looping routines and not to optimization functions.
Thank you very much in advance!