Analytical Derivatives for Markov Switching Models
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.
|Date of creation:||28 Aug 1995|
|Date of revision:|
|Note:||24 printed pages, compressed PostScript file. Other recent Bank of Canada working papers are listed on the last page of this report.|
|Contact details of provider:|| Web page: http://184.108.40.206|
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpge:9508001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.