Analytical derivatives for Markov switching models / by Jeff Gable et al. : FB3-2/95-7E
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
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Analytical derivatives for Markov switching models / by Jeff Gable et al. |
| Series title | Working paper1192-543495-7 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Paper |
| Other formats | Electronic-[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. Résumés en français |
| Publishing information | Ottawa - Ontario : Bank of Canada 1995. |
| Binding | Softcover |
| Description | 24p. : graphs, references, tables ; 28 cm. |
| ISBN | 0-662-23685-8 |
| ISSN | 1192-5434 |
| Catalogue number |
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| Subject terms | Rates Currency |