00000nam##2200000za#4500 9.612490 CaOODSP 20211126112846 ta 150406|1995||||xxc||||| f|0| 0 eng|d 0-662-23685-8 1192-5434 CaOODSP eng n-cn--- FB3-2/95-7E Bank of Canada. Analytical derivatives for Markov switching models / by Jeff Gable et al. Ottawa - Ontario : Bank of Canada 1995. 24p. : graphs, references, tables ; 28 cm. Working paper 1192-5434 95-7 "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. 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 Softcover 95-36 1995-09-08 Rates gcpds Currency gcpds Gable, Jeff Analytical derivatives for Markov switching models / (CaOODSP)9.571638 Working paper, 1192-5434 95-7 (CaOODSP)9.514622