Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models

Gregor Kastner and Sylvia Frühwirth-Schnatter

Computational Statistics & Data Analysis, 2014, vol. 76, issue C, 408-423

Abstract: Bayesian inference for stochastic volatility 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. It is demonstrated 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 for inference for parameter constellations that have previously been infeasible to estimate without the need to select a particular parameterization beforehand.

Keywords: Markov chain Monte Carlo; Non-centering; Auxiliary mixture sampling; Massively parallel computing; State space model; Exchange rate data (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (215)

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Related works:
Working Paper: Ancillarity-Sufficiency Interweaving Strategy (ASIS) for Boosting MCMC Estimation of Stochastic Volatility Models (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:76:y:2014:i:c:p:408-423

DOI: 10.1016/j.csda.2013.01.002

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