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.
- Language
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Englisch
- Bibliographic citation
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Series: NBB Working Paper ; No. 263
- Classification
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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
- Subject
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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
- Event
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Geistige Schöpfung
- (who)
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Dufays, Arnaud
- Event
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Veröffentlichung
- (who)
-
National Bank of Belgium
- (where)
-
Brussels
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dufays, Arnaud
- National Bank of Belgium
Time of origin
- 2014
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