论文标题
在制度转换模型中，有效的得分计算和期望最大化算法
Efficient Score Computation and Expectation-Maximization Algorithm in Regime-Switching Models
论文作者
论文摘要
这项研究提出了一种用于制度开关模型的得分计算的有效算法，并得出了有效的期望最大化（EM）算法。与现有算法不同，该算法不依赖于前后的过滤来获得平滑的制度概率，而仅涉及前向计算。此外，很容易扩展到计算得分的算法以计算Hessian矩阵。
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.
