Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
dc.contributor.author | Kastner, Gregor | |
dc.contributor.author | Frühwirth-Schnatter, Sylvia | |
dc.contributor.author | HEDIBERT FREITAS LOPES | |
dc.coverage.cidade | São Paulo | pt_BR |
dc.coverage.pais | Brasil | pt_BR |
dc.creator | Kastner, Gregor | |
dc.creator | Frühwirth-Schnatter, Sylvia | |
dc.date.accessioned | 2023-07-20T16:07:19Z | |
dc.date.available | 2023-07-20T16:07:19Z | |
dc.date.issued | 2016 | |
dc.description.abstract | 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. | |
dc.description.other | We discuss efficient Bayesian estimation of dynamic covariance matrices in multi variate time series through a factor stochastic volatility model. In particular, we pro pose two interweaving strategies (Yu and Meng, 2011) to substantially accelerate con vergence and mixing of standard MCMC approaches. Similar to marginal data aug mentation 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. | pt_BR |
dc.format.extent | 29 p. | pt_BR |
dc.format.medium | Digital | pt_BR |
dc.identifier.issue | BEWP 234/2016 | |
dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/5894 | |
dc.language.iso | Inglês | pt_BR |
dc.publisher | Insper | pt_BR |
dc.relation.ispartofseries | Insper Working Paper | pt_BR |
dc.rights.license | O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR | pt_BR |
dc.subject.keywords | Ancillarity-sufficiency interweaving strategy (ASIS) | pt_BR |
dc.subject.keywords | Curse of dimensionality | pt_BR |
dc.subject.keywords | Data augmentation | pt_BR |
dc.subject.keywords | Dynamic covariance matrices | pt_BR |
dc.subject.keywords | Exchange rate data | pt_BR |
dc.subject.keywords | Markov chain Monte Carlo (MCMC) | pt_BR |
dc.title | Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models | pt_BR |
dc.type | working paper | |
dspace.entity.type | Publication | |
local.subject.cnpq | Ciências Exatas e da Terra | pt_BR |
local.type | Working Paper | pt_BR |
relation.isAuthorOfPublication | 41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca | |
relation.isAuthorOfPublication.latestForDiscovery | 41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca |
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