Efficient high-dimensional importance sampling in mixture frameworks
This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of dynamic latent variable models involving finite or infinite mixtures leading to possibly heavy tailed and/or multi-modal target densities. Our approach is based upon the efficient importance sampling (EIS) approach of Richard and Zhang (2007) and exploits the mixture structure of the model when constructing importance sampling distributions as mixture of distributions. The proposed mixture EIS procedures are illustrated with ML estimation of a student-t state space model for realized volatilities and a stochastic volatility model with leverage effects and jumps for asset returns.
|Date of creation:||2011|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 0431-880 3282
Fax: 0431-880 3150
Web page: http://www.wiso.uni-kiel.de/econ/
More information through EDIRC
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.:
- Ole E. Barndorff-Nielsen & Neil Shephard, 2000.
"Econometric analysis of realised volatility and its use in estimating stochastic volatility models,"
2001-W4, Economics Group, Nuffield College, University of Oxford, revised 05 Jul 2001.
- Ole E. Barndorff-Nielsen & Shephard, 2002. "Econometric analysis of realized volatility and its use in estimating stochastic volatility models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(2), pages 253-280.
- Roxana Chiriac & Valeri Voev, 2008.
"Modelling and Forecasting Multivariate Realized Volatility,"
CoFE Discussion Paper
08-06, Center of Finance and Econometrics, University of Konstanz.
- Roxana Chiriac & Valeri Voev, 2011. "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 922-947, 09.
- Roxana Chiriac & Valeri Voev, 2008. "Modelling and Forecasting Multivariate Realized Volatility," CREATES Research Papers 2008-39, School of Economics and Management, University of Aarhus.
- Jung, Robert C. & Liesenfeld, Roman & Richard, Jean-FranÃ§ois, 2011.
"Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 29(1), pages 73-85.
- Jung, Robert & Liesenfeld, Roman & Richard, Jean-François, 2008. "Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity," Economics Working Papers 2008,12, Christian-Albrechts-University of Kiel, Department of Economics.
- Christian Bach & Bent Jesper Christensen, 2011. "Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach," CREATES Research Papers 2010-61, School of Economics and Management, University of Aarhus.
- Luc, BAUWENS & Fausto Galli, 2007.
"Efficient importance sampling for ML estimation of SCD models,"
Discussion Papers (ECON - Département des Sciences Economiques)
2007032, Université catholique de Louvain, Département des Sciences Economiques.
- Bauwens, L. & Galli, F., 2009. "Efficient importance sampling for ML estimation of SCD models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1974-1992, April.
- BAUWENS, Luc & GALLI, Fausto, 2007. "Efficient importance sampling for ML estimation of SCD models," CORE Discussion Papers 2007053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & GALLI, Fausto, . "Efficient importance sampling for ML estimation of SCD models," CORE Discussion Papers RP -2088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Durham, Garland B., 2006. "Monte Carlo methods for estimating, smoothing, and filtering one- and two-factor stochastic volatility models," Journal of Econometrics, Elsevier, vol. 133(1), pages 273-305, July.
- Jun Yu, 2004.
"On Leverage in a Stochastic Volatility Model,"
Econometric Society 2004 Far Eastern Meetings
506, Econometric Society.
- Ardia, David & Hoogerheide, Lennart F. & van Dijk, Herman K., 2008.
"Adaptive mixture of Student-t distributions as a flexible candidate distribution for efficient simulation: the R package AdMit,"
DQE Working Papers
9, Department of Quantitative Economics, University of Freiburg/Fribourg Switzerland, revised 07 Jan 2009.
- David Ardia & Lennart F. Hoogerheide & Herman K. van Dijk, . "Adaptive Mixture of Student-t Distributions as a Flexible Candidate Distribution for Efficient Simulation: The R Package AdMit," Journal of Statistical Software, American Statistical Association, vol. 29(i03).
- Liesenfeld, Roman & Richard, Jean-Francois, 2003. "Univariate and multivariate stochastic volatility models: estimation and diagnostics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 505-531, September.
- Jean-Francois Richard, 2007.
"Efficient High-Dimensional Importance Sampling,"
321, University of Pittsburgh, Department of Economics, revised Jan 2007.
- Bjørn Eraker & Michael Johannes & Nicholas Polson, 2003. "The Impact of Jumps in Volatility and Returns," Journal of Finance, American Finance Association, vol. 58(3), pages 1269-1300, 06.
- Liesenfeld, Roman & Richard, Jean-François, 2010. "Efficient estimation of probit models with correlated errors," Journal of Econometrics, Elsevier, vol. 156(2), pages 367-376, June.
- Sylvia Fr�Hwirth-Schnatter & Helga Wagner, 2006. "Auxiliary mixture sampling for parameter-driven models of time series of counts with applications to state space modelling," Biometrika, Biometrika Trust, vol. 93(4), pages 827-841, December.
- Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November.
- 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.
When requesting a correction, please mention this item's handle: RePEc:zbw:cauewp:201111. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.