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

no code implementations • 3 May 2022 • Chaojun Li, Shi Qiu

This study proposes an efficient algorithm for score computation for regime-switching models, and derived from which, an efficient expectation-maximization (EM) algorithm.

Asymptotic Properties of the Maximum Likelihood Estimator in Regime-Switching Models with Time-Varying Transition Probabilities

no code implementations • 10 Oct 2020 • Chaojun Li, Yan Liu

We prove the asymptotic properties of the maximum likelihood estimator (MLE) in time-varying transition probability (TVTP) regime-switching models.