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001 | 9.571638 |
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003 | CaOODSP |
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005 | 20211126112844 |
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007 | cr ||||||||||| |
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008 | 150406|1995||||xxc|||||o f|0| 0 eng|d |
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022 | |a1701-9397 |
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040 | |aCaOODSP|beng |
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043 | |an-cn--- |
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086 | 1 |aFB3-2/95-7E-PDF |
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110 | 2 |aBank of Canada. |
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245 | 10|aAnalytical derivatives for Markov switching models / |h[electronic resource]|cby Jeff Gable, Simon van Norden and Robert Vigfusson. |
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260 | |aOttawa - Ontario : |bBank of Canada |cAugust 1995. |
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300 | |a33p.|bgraph, references, tables |
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490 | 1 |aBank of Canada working paper|x1701-9397|v95-7 |
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500 | |a"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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500 | |aThe ISBN (0-662-23685-8) and ISSN (1192-5434) for the print edition have been incorrectly copied in this electronic publication. |
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520 | 3 |aThis 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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546 | |aRésumé en français. |
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590 | |a11-19-Supp|b2011-09-23 |
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690 | 07|aRates|2gcpds |
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690 | 07|aCurrency|2gcpds |
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720 | 1 |aVigfusson, Robert |
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720 | 1 |aGable, Jeff |
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720 | 1 |avan Norden, Simon |
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776 | 0#|tAnalytical derivatives for Markov switching models / |w(CaOODSP)9.612490 |
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830 | #0|aWorking paper (Bank of Canada)|x1701-9397|v95-7|w(CaOODSP)9.504604 |
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856 | 40|ahttp://publications.gc.ca|qPDF|s188 KB|uhttps://publications.gc.ca/collections/Collection/FB3-2-95-7E.pdf|y95-7 |
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