Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models
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Publication:70784
DOI10.1016/J.CSDA.2013.01.002zbMATH Open1506.62094arXiv1706.05280OpenAlexW2053974175MaRDI QIDQ70784FDOQ70784
Authors: Gregor Kastner, Sylvia Frühwirth-Schnatter, Gregor Kastner, Sylvia Frühwirth-Schnatter 
Publication date: August 2014
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: Bayesian inference for stochastic volatility models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the volatility of volatility parameter in the latent state equation is small, non-centered versions of the model show deficiencies for highly persistent latent variable series. The novel approach of ancillarity-sufficiency interweaving has recently been shown to aid in overcoming these issues for a broad class of multilevel models. In this paper, we demonstrate how such an interweaving strategy can be applied to stochastic volatility models in order to greatly improve sampling efficiency for all parameters and throughout the entire parameter range. Moreover, this method of "combining best of different worlds" allows for inference for parameter constellations that have previously been infeasible to estimate without the need to select a particular parameterization beforehand.
Full work available at URL: https://arxiv.org/abs/1706.05280
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Markov chain Monte Carloauxiliary mixture samplingexchange rate datamassively parallel computingnon-centeringstate space model
Computational methods for problems pertaining to statistics (62-08) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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