Efficient learning via simulation: A marginalized resample-move approach
In state–space models, parameter learning is practically difficult and is still an open issue. This paper proposes an efficient simulation-based parameter learning method. First, the approach breaks up the interdependence of the hidden states and the static parameters by marginalizing out the states using a particle filter. Second, it applies a Bayesian resample-move approach to this marginalized system. The methodology is generic and needs little design effort. Different from batch estimation methods, it provides posterior quantities necessary for full sequential inference and recursive model monitoring. The algorithm is implemented both on simulated data in a linear Gaussian model for illustration and comparison and on real data in a Lévy jump stochastic volatility model and a structural credit risk model.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Haitao Li & Martin T. Wells & Cindy L. Yu, 2008. "A Bayesian Analysis of Return Dynamics with Lévy Jumps," Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2345-2378, September.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comments: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 413-17, October.
- Nicolas Chopin, 2002.
"A sequential particle filter method for static models,"
Biometrika Trust, vol. 89(3), pages 539-552, August.
- Nicolas Chopin, 2000. "A Sequential Particle Filter Method for Static Models," Working Papers 2000-45, Centre de Recherche en Economie et Statistique.
- Pierre Del Moral & Arnaud Doucet & Ajay Jasra, 2006. "Sequential Monte Carlo samplers," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 411-436.
- Durbin, James & Koopman, Siem Jan, 2001.
"Time Series Analysis by State Space Methods,"
Oxford University Press, number 9780198523543, December.
- Tom Doan, . "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance,
American Finance Association, vol. 29(2), pages 449-70, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-43.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Shirley J. Huang & Jun Yu, 2009.
"Bayesian Analysis of Structural Credit Risk Models with Microstructure Noises,"
Finance Working Papers
23054, East Asian Bureau of Economic Research.
- Huang, Shirley J. & Yu, Jun, 2010. "Bayesian analysis of structural credit risk models with microstructure noises," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2259-2272, November.
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 2002.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 20(1), pages 69-87, January.
- repec:dau:papers:123456789/1392 is not listed on IDEAS
- Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
- Walter R. Gilks & Carlo Berzuini, 2001. "Following a moving target-Monte Carlo inference for dynamic Bayesian models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(1), pages 127-146.
- Duan, Jin-Chuan & Fulop, Andras, 2009. "Estimating the structural credit risk model when equity prices are contaminated by trading noises," Journal of Econometrics, Elsevier, vol. 150(2), pages 288-296, June.
- Michael S. Johannes & Nicholas G. Polson & Jonathan R. Stroud, 2009. "Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices," Review of Financial Studies, Society for Financial Studies, vol. 22(7), pages 2559-2599, July.
When requesting a correction, please mention this item's handle: RePEc:eee:econom:v:176:y:2013:i:2:p:146-161. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shamier, Wendy)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.