Analytical derivatives for Markov switching models / by Jeff Gable, Simon van Norden and Robert Vigfusson. : FB3-2/95-7E-PDF
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients considerably speed up maximum-likelihood estimation with no loss in accuracy. A sample program listing is included.--Abstract
Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571638&sl=0
| Department/Agency | Bank of Canada. |
|---|---|
| Title | Analytical derivatives for Markov switching models / by Jeff Gable, Simon van Norden and Robert Vigfusson. |
| Series title | Bank of Canada working paper1701-939795-7 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Other formats | Paper-[English] |
| Note(s) | "This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients considerably speed up maximum-likelihood estimation with no loss in accuracy. A sample program listing is included."--Abstract. The ISBN (0-662-23685-8) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. Résumé en français. |
| Publishing information | Ottawa - Ontario : Bank of Canada August 1995. |
| Description | 33p.graph, references, tables |
| ISSN | 1701-9397 |
| Catalogue number |
|
| Subject terms | Rates Currency |