Advanced MCMC methods for sampling on diffusion pathspace

Alexandros Beskos, Konstantinos Kalogeropoulos () and Erik Pazos

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: The need to calibrate increasingly complex statistical models requires a persistent effort for further advances on available, computationally intensive Monte-Carlo methods. We study here an advanced version of familiar Markov-chain Monte-Carlo (MCMC) algorithms that sample from target distributions defined as change of measures from Gaussian laws on general Hilbert spaces. Such a model structure arises in several contexts: we focus here at the important class of statistical models driven by diffusion paths whence the Wiener process constitutes the reference Gaussian law. Particular emphasis is given on advanced Hybrid Monte-Carlo (HMC) which makes large, derivative driven steps in the state space (in contrast with local-move Random-walk-type algorithms) with analytical and experimental results. We illustrate it’s computational advantages in various diffusion processes and observation regimes; examples include stochastic volatility and latent survival models. In contrast with their standard MCMC counterparts, the advanced versions have mesh-free mixing times, as these will not deteriorate upon refinement of the approximation of the inherently infinite-dimensional diffusion paths by finite-dimensional ones used in practice when applying the algorithms on a computer.

Keywords: Gaussian measure; diffusion process; covariance operator; Hamiltonian dynamics; mixing time; stochastic volatility. (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2013-04-08
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Citations: View citations in EconPapers (1)

Published in Stochastic Processes and Their Applications, 8, April, 2013, 123(4), pp. 1415-1453. ISSN: 0304-4149

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Journal Article: Advanced MCMC methods for sampling on diffusion pathspace (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:46433

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