Navegando por Palavra-chave "Ancillarity-sufficiency interweaving strategy (ASIS)"

Filtrar resultados informando as primeiras letras
Agora exibindo 1 - 2 de 2
  • Imagem de Miniatura
    Artigo Científico
    Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    (2017) Kastner, Gregor; Frühwirth-Schnatter, Sylvia; HEDIBERT FREITAS LOPES
  • N/D
    Working Paper
    Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
    (2016) Kastner, Gregor; Frühwirth-Schnatter, Sylvia; HEDIBERT FREITAS LOPES
    We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, 2011) to substantially accelerate convergence and mixing of standard MCMC approaches. Similar to marginal data augmentation techniques, the proposed acceleration procedures exploit non-identifiability issues which frequently arise in factor models. Our new interweaving strategies are easy to implement and come at almost no extra computational cost; nevertheless, they can boost estimation efficiency by several orders of magnitude as is shown in extensive simulation studies. To conclude, the application of our algorithm to a 26-dimensional exchange rate data set illustrates the superior performance of the new approach for real-world data.