Efficient simulation and integrated likelihood estimation in state space models (Q2655891)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Efficient simulation and integrated likelihood estimation in state space models |
scientific article |
Statements
Efficient simulation and integrated likelihood estimation in state space models (English)
0 references
26 January 2010
0 references
Summary: We consider the problem of implementing simple and efficient Markov chain Monte Carlo (MCMC) estimation algorithms for state space models. A conceptually transparent derivation of the posterior distribution of the states is discussed, which also leads to an efficient simulation algorithm that is modular, scalable and widely applicable. We also discuss a simple approach for evaluating the integrated likelihood, defined as the density of the data given the parameters but marginal of the state vector. We show that this high-dimensional integral can be easily evaluated with minimal computational and conceptual difficulty. Two empirical applications in macroeconomics demonstrate that the methods are versatile and computationally undemanding. In one application, involving a time-varying parameter model, we show that the methods allow for efficient handling of large state vectors. In our second application, involving a dynamic factor model, we introduce a new blocking strategy which results in improved MCMC mixing at little cost. The results demonstrate that the framework is simple, flexible and efficient.
0 references
banded matrix
0 references
Bayesian estimation
0 references
collapsed sampler
0 references
Markov chain Monte Carlo
0 references
Kalman filter
0 references
state smoothing
0 references
dynamic factor model
0 references
time-varying parameter model
0 references
numerical examples
0 references
algorithms
0 references
macroeconomics
0 references