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Metropolis-Hastings prefetching algorithms
Strid, Ingvar (contributor) - 2008 - Rev. December 2, 2009
Prefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based … on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching … states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the prefetching …
Persistent link: https://www.econbiz.de/10003779724
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JBendge: an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor; Krätzig, Markus - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10010263731
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JBendge : an object-oriented system for solving, estimating and selecting nonlinear dynamic models
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present an object-oriented software framework allowing to specify, solve, and estimate nonlinear dynamic general equilibrium (DSGE) models. The implemented solution methods for finding the unknown policy function are the standard linearization around the deterministic steady state, and a...
Persistent link: https://www.econbiz.de/10003727355
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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor; Krätzig, Markus - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10010263720
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Solving, estimating and selecting nonlinear dynamic models without the curse of dimensionality
Winschel, Viktor (contributor); Krätzig, Markus (contributor) - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse grids. The Smolyak operator underlying the sparse grids approach frees global approximation from the curse of dimensionality and we apply it to a Chebyshev approximation of the...
Persistent link: https://www.econbiz.de/10003636133
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Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models
Delli Gatti, Domenico - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012860573
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Rising to the challenge : Bayesian estimation and forecasting techniques for macroeconomic agent-based models
Delli Gatti, Domenico; Grazzini, Jakob - 2019
We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...
Persistent link: https://www.econbiz.de/10012119860
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Adaptive hybrid Metropolis-Hastings samplers for DSGE models
Strid, Ingvar; Giordani, Paolo; Kohn, Robert - 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/10010281400
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Many Risks, One (Optimal) Portfolio
Homescu, Cristian - 2014
Persistent link: https://www.econbiz.de/10013050012
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Calculation of Transition Probabilities of SDEs Only from the Knowledge of Marginal Probabilities Using the CDF-Equivalent Brownian Motion Method
Amin, Ahsan - 2018
In this article, we show how to calculate the conditional and transition probabilities of any SDE between two different points across time only from the knowledge of their marginal probabilities on these two time grids. Briefly, we construct CDF-Equivalent standard Brownian motion grids from the...
Persistent link: https://www.econbiz.de/10012928070