Recursive Score and Hessian Computation in Regime-Switching Models

Chaojun Li; Shi Qiu

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arXiv · 2205.01565

Recursive Score and Hessian Computation in Regime-Switching Models

Chaojun Li·Shi Qiu

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Abstract

This study proposes a recursive and easy-to-implement algorithm to compute the score and Hessian matrix in general regime-switching models. We use simulation to compare the asymptotic variance estimates constructed from the Hessian matrix and the outer product of the score. The results favor the latter.

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Chaojun Li, Shi Qiu. 2022-05-03. Recursive Score and Hessian Computation in Regime-Switching Models. https://arxiv.org/abs/2205.01565

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