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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

Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.571638&sl=1

Renseignements sur la publication
Ministère/Organisme
  • Bank of Canada.
TitreAnalytical derivatives for Markov switching models / by Jeff Gable, Simon van Norden and Robert Vigfusson.
Titre de la série
  • Bank of Canada working paper 1701-9397 95-7
Type de publicationMonographie - Voir l'enregistrement principal
Langue[Anglais]
FormatTexte numérique
Document électronique
Autres formats offertsTexte matériel-[Anglais]
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.
Information sur la publication
  • Ottawa - Ontario : Bank of Canada August 1995.
Description33p.graph, references, tables
ISSN1701-9397
Numéro de catalogue
  • FB3-2/95-7E-PDF
Descripteurs
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