Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models

Beschreibung

Recent findings show that Bayesian inference for stochastic volatility (SV) models using MCMC methods highly depends on actual parameter values in terms of sampling efficiency. While draws from the posterior utilizing the standard centered parameterization break down when the volatility of volatility parameter in the latent state equation is small, non-centered versions of the model show deficiencies for highly persistent latent variable series. The novel approach of ancillarity-sufficiency interweaving has recently been shown to aid in overcoming these issues for a broad class of multilevel models. In this talk we demonstrate how such an interweaving strategy can be applied to stochastic volatility models in order to greatly improve sampling efficiency for all parameters and throughout the entire parameter range. Moreover, this method of "combining best of different worlds" allows inference for parameter constellations that have previously been unfeasible to estimate without the need to select a particular parameterization beforehand.

Zeitraum	17 Dez. 2011 → 19 Dez. 2011
Ereignistitel	5th CSDA International Conference on Computational and Financial Econometrics (CFE'11)
Veranstaltungstyp	Keine Angaben
Bekanntheitsgrad	International