Efficient Score Computation and Expectation-Maximization Algorithm in Regime-Switching Models

Chaojun Li and Shi Qiu (shiqiu.iub@gmail.com)

Papers from arXiv.org

Abstract: This study proposes an efficient algorithm for score computation for regime-switching models, and derived from which, an efficient expectation-maximization (EM) algorithm. Different from existing algorithms, this algorithm does not rely on the forward-backward filtering for smoothed regime probabilities, and only involves forward computation. Moreover, the algorithm to compute score is readily extended to compute the Hessian matrix.

Date: 2022-05
New Economics Papers: this item is included in nep-cmp and nep-ecm
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