Arbeitspapier
On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers
Sequential Monte Carlo (SMC) methods are widely used for filtering purposes of non-linear economic or financial models. Nevertheless the SMC scope encompasses wider applications such as estimating static model parameters so much that it is becoming a serious alternative to Markov- Chain Monte-Carlo (MCMC) methods. Not only SMC algorithms draw posterior distributions of static or dynamic parameters but additionally provide an estimate of the normalizing constant. The tempered and time (TNT) algorithm, developed in the paper, combines (off-line) tempered SMC inference with on-line SMC inference for estimating many slightly different distributions. The method encompasses the Iterated Batch Importance Sampling (IBIS) algorithm and more generally the Resample Move (RM) algorithm. Besides the number of particles, the TNT algorithm self-adjusts its calibrated parameters and relies on a new MCMC kernel that allows for particle interactions. The algorithm is well suited for efficiently back-testing models. We conclude by comparing in-sample and out-of-sample performances of complex volatility models.
- Sprache
-
Englisch
- Erschienen in
-
Series: NBB Working Paper ; No. 263
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Statistical Simulation Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Financial Econometrics
- Thema
-
Bayesian inference
Sequential Monte Carlo
Annealed Importance sampling
Differential Evolution
Volatility models
Multifractal model
Markov-switching model
Monte-Carlo-Simulation
Bayes-Statistik
Sequentialtest
Markov-Kette
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dufays, Arnaud
- Ereignis
-
Veröffentlichung
- (wer)
-
National Bank of Belgium
- (wo)
-
Brussels
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dufays, Arnaud
- National Bank of Belgium
Entstanden
- 2014
Ähnliche Objekte (12)
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Using context for the combination of off-line and on-line learning
On-line and off-line data assimilation in palaeoclimatology: a case study
Stochastische Modelle zur off-line Fließschrifterkennung
OFF-LINE VS. ON-LINE CALIBRATION OF A PANORAMIC-BASED MOBILE MAPPING SYSTEM
Scheduling to Minimize Average Completion Time: Off-line and On-line Approximation Algorithms
Novel geometric features for off-line writer identification
Accelerated Lifetime Testing of Off-Line LED Drivers
Off-line synthesis of evolutionarily stable normative systems
Off-line constraint propagation for efficient HPSG processing
A study on off-line machine recognition of handwriting Arabic cursive script
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Using context for the combination of off-line and on-line learning
On-line and off-line data assimilation in palaeoclimatology: a case study
Stochastische Modelle zur off-line Fließschrifterkennung
OFF-LINE VS. ON-LINE CALIBRATION OF A PANORAMIC-BASED MOBILE MAPPING SYSTEM
Scheduling to Minimize Average Completion Time: Off-line and On-line Approximation Algorithms
Novel geometric features for off-line writer identification
Accelerated Lifetime Testing of Off-Line LED Drivers
Off-line synthesis of evolutionarily stable normative systems
Off-line constraint propagation for efficient HPSG processing
A study on off-line machine recognition of handwriting Arabic cursive script
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Estudi etnogràfic d'un grup híbrid on-line/ off-line
Using context for the combination of off-line and on-line learning
On-line and off-line data assimilation in palaeoclimatology: a case study
Stochastische Modelle zur off-line Fließschrifterkennung
OFF-LINE VS. ON-LINE CALIBRATION OF A PANORAMIC-BASED MOBILE MAPPING SYSTEM
Scheduling to Minimize Average Completion Time: Off-line and On-line Approximation Algorithms
Novel geometric features for off-line writer identification
Accelerated Lifetime Testing of Off-Line LED Drivers
Off-line synthesis of evolutionarily stable normative systems
Off-line constraint propagation for efficient HPSG processing