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Metropolis-Hastings prefetching algorithms
Strid, Ingvar - Economics Institute for Research (SIR), … - 2008
Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based …-Hastings prefetching algorithms are presented and evaluated. It is shown how to use available information to make better predictions of the … future states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the …
Persistent link: https://www.econbiz.de/10005649345
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Stochastic Volatility Estimation with GPU Computing
Santos, António Alberto; Andrade, João - Grupo de Estudos Monetários e Financeiros (GEMF), … - 2014
In this paper, we show how to estimate the parameters of stochastic volatility models using Bayesian estimation and Markov chain Monte Carlo (MCMC) simulations through the approximation of the a-posteriori distribution of parameters. Simulated independent draws are made possible by using...
Persistent link: https://www.econbiz.de/10010765774
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Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
Nonejad, Nima - School of Economics and Management, University of Aarhus - 2013
This paper details Particle Markov chain Monte Carlo techniques for analysis of unobserved component time series models using several economic data sets. PMCMC combines the particle filter with the Metropolis-Hastings algorithm. Overall PMCMC provides a very compelling, computationally fast and...
Persistent link: https://www.econbiz.de/10010851295
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Particle Markov Chain Monte Carlo Techniques of Unobserved Component Time Series Models Using Ox
Nonejad, Nima - Volkswirtschaftliche Fakultät, … - 2014
This paper details particle Markov chain Monte Carlo (PMCMC) techniques for analysis of unobserved component time series models using several economic data sets. PMCMC provides a very compelling, computationally fast and efficient framework for estimation and model comparison. For instance, we...
Persistent link: https://www.econbiz.de/10011107873
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Adaptive hybrid Metropolis-Hastings samplers for DSGE models
Strid, Ingvar; Giordani, Paolo; Kohn, Robert - Economics Institute for Research (SIR), … - 2010
Bayesian inference for DSGE models is typically carried out by single block random walk Metropolis, involving very high computing costs. This paper combines two features, adaptive independent Metropolis-Hastings and parallelisation, to achieve large computational gains in DSGE model estimation....
Persistent link: https://www.econbiz.de/10008522061
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Shephard, Neil; Flury, Thomas - Department of Economics, Oxford University - 2008
Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood.  We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm.  This result has recently been introduced in...
Persistent link: https://www.econbiz.de/10005047860
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Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
Flury, Thomas; Shephard, Neil - Finance Research Centre, Oxford University - 2008
Suppose we wish to carry out likelihood based inference but we solely have an unbiased simulation based estimator of the likelihood. We note that unbiasedness is enough when the estimated likelihood is used inside a Metropolis-Hastings algorithm. This result has recently been intro- duced in...
Persistent link: https://www.econbiz.de/10005730008
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A Correction Function Approach to Solve the Incidental Parameter Problem
LI, Guangjie; Leon-Gonzalez, Roberto - Economics Section, Cardiff Business School - 2009
Following Lancaster (2002), we propose a strategy to solve the incidental parameter problem. The method is demonstrated under a simple panel Poisson count model. We also extend the strategy to accomodate cases when information orthogonality is unavailable, such as the linear AR(p) panel model....
Persistent link: https://www.econbiz.de/10005036278
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On the tracking and replication of hedge fund optimal investment portfolio strategies in global capital markets in presence of nonlinearities, applying Bayesian filters: 1. Stratan...
Ledenyov, Dimitri O.; Ledenyov, Viktor O. - Volkswirtschaftliche Fakultät, … - 2013
The hedge fund represents a unique investment opportunity for the institutional and private investors in the diffusion-type financial systems. The main objective of this condensed article is to research the hedge fund’s optimal investment portfolio strategies selection in the global capital...
Persistent link: https://www.econbiz.de/10011260821
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Recovering default risk from CDS spreads with a nonlinear filter
Guarin, Alexander; Liu, Xiaoquan; Ng, Wing Lon - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 87-104
We propose a nonlinear filter to estimate the time-varying default risk from the term structure of credit default swap (CDS) spreads. Based on the numerical solution of the Fokker–Planck equation (FPE) using a meshfree interpolation method, the filter performs a joint estimation of the...
Persistent link: https://www.econbiz.de/10010871007