How to maximize the likelihood function for a DSGE model
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Publication:2267811
DOI10.1007/s10614-009-9182-6zbMath1183.91092MaRDI QIDQ2267811
Publication date: 2 March 2010
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10614-009-9182-6
resampling; simulated annealing; CMA-ES optimization routine; multimodel objective function; Nelder-Mead simplex routine; non-convex search space
90C29: Multi-objective and goal programming
68T05: Learning and adaptive systems in artificial intelligence
90C15: Stochastic programming
91B51: Dynamic stochastic general equilibrium theory
Uses Software
Cites Work
- Global optimization of statistical functions with simulated annealing
- Solving dynamic general equilibrium models using a second-order approximation to the policy function
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- Minimizing multimodal functions of continuous variables with the “simulated annealing” algorithm—Corrigenda for this article is available here
- Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
- Facts, Conjectures, and Improvements for Simulated Annealing
- Bayesian Analysis of DSGE Models
- International Equity Flows and Returns: A Quantitative Equilibrium Approach