Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Sylvia Fr\"uhwirth-Schnatter and
Hedibert Freitas Lopes
Papers from arXiv.org
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, Journal of Computational and Graphical Statistics, 20(3), 531-570, 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.
Date: 2016-02, Revised 2017-07
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Published in Journal of Computational and Graphical Statistics 26(4), 905-917 (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1602.08154
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