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

DOI10.1016/j.csda.2013.01.002zbMath1506.62094arXiv1706.05280OpenAlexW2053974175MaRDI QIDQ70784

Gregor Kastner, Sylvia Frühwirth-Schnatter, Sylvia Frühwirth-Schnatter, Gregor Kastner

Publication date: August 2014

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.05280

zbMATH Keywords

Markov chain Monte Carlostate space modelauxiliary mixture samplingexchange rate datamassively parallel computingnon-centering

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Uses Software

• LAPACK
• R
• Snow
• CODA
• RngSteam
• snow
• Rcpp
• OpenMPI
• stochvol
• RngStreams

Cites Work

• Unnamed Item
• Unnamed Item
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