Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models

dc.contributor.authorKastner, Gregor
dc.contributor.authorFrühwirth-Schnatter, Sylvia
dc.contributor.authorHEDIBERT FREITAS LOPES
dc.coverage.cidadeNão informadopt_BR
dc.coverage.paisNão Informadopt_BR
dc.creatorKastner, Gregor
dc.creatorFrühwirth-Schnatter, Sylvia
dc.date.accessioned2022-08-20T18:32:09Z
dc.date.available2022-08-20T18:32:09Z
dc.date.issued2017
dc.description.otherWe 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 to substantially accelerate convergence and mixing of standard MCMC approaches. Similar to marginal data augmentation techniques, the proposed acceleration procedures exploit nonidentifiability 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 dataset illustrates the superior performance of the new approach for real-world data. Supplementary materials for this article are available online.pt_BR
dc.format.extentp. 905-917pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.doihttps://doi.org/10.1080/10618600.2017.1322091pt_BR
dc.identifier.issn15372715pt_BR
dc.identifier.issue4pt_BR
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/4069
dc.identifier.volume26pt_BR
dc.language.isoInglêspt_BR
dc.publisherNão informadopt_BR
dc.relation.ispartofJournal of Computational and Graphical Statisticspt_BR
dc.relation.urihttps://www.tandfonline.com/doi/full/10.1080/10618600.2017.1322091pt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DOS USUÁRIOS INDIVIDUAIS VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR.pt_BR
dc.subject.keywordsAncillarity-sufficiency interweaving strategy (ASIS)pt_BR
dc.subject.keywordsCurse of dimensionalitypt_BR
dc.subject.keywordsData augmentationpt_BR
dc.subject.keywordsDynamic correlationpt_BR
dc.subject.keywordsDynamic covariancept_BR
dc.subject.keywordsExchange rate datapt_BR
dc.subject.keywordsMarkov chain Monte Carlo (MCMC)pt_BR
dc.titleEfficient Bayesian Inference for Multivariate Factor Stochastic Volatility Modelspt_BR
dc.typejournal article
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeArtigo Científicopt_BR
relation.isAuthorOfPublication41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
relation.isAuthorOfPublication.latestForDiscovery41f844cb-0e5a-4ef1-bb19-5ab1cec8e2ca
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