Related papers: Ancillarity-Sufficiency Interweaving Strategy (ASI…
The sampling efficiency of MCMC methods in Bayesian inference for stochastic volatility (SV) models is known to highly depend on the actual parameter values, and the effectiveness of samplers based on different parameterizations varies…
Improving Markov chain Monte Carlo algorithm efficiency is essential for enhancing computational speed and inferential accuracy in Bayesian analysis. These improvements can be effectively achieved using the ancillarity-sufficiency…
We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, Journal of Computational…
The stochastic volatility model is a popular tool for modeling the volatility of assets. The model is a nonlinear and non-Gaussian state space model, and consequently is difficult to fit. Many approaches, both classical and Bayesian, have…
This paper discusses the efficient Bayesian estimation of a multivariate factor stochastic volatility (Factor MSV) model with leverage. We propose a novel approach to construct the sampling schemes that converges to the posterior…
We consider state and parameter estimation for a dynamical system having both time-varying and time-invariant parameters. It has been shown that the robustness of the Markov Chain Monte Carlo (MCMC) algorithm for estimating time-invariant…
In this paper, we propose a novel method of model-based time series clustering with mixtures of general state space models (MSSMs). Each component of MSSMs is associated with each cluster. An advantage of the proposed method is that it…
In this paper we consider a variety of procedures for numerical statistical inference in the family of univariate and multivariate stable distributions. In connection with univariate distributions (i) we provide approximations by finite…
We present a scalable approach to performing approximate fully Bayesian inference in generic state space models. The proposed method is an alternative to particle MCMC that provides fully Bayesian inference of both the dynamic latent states…
State space models contain time-indexed parameters, termed states, as well as static parameters, simply termed parameters. The problem of inferring both static parameters as well as states simultaneously, based on time-indexed observations,…
In this paper we address the problem of performing Bayesian inference for the parameters of a nonlinear multi-output model and the covariance matrix of the different output signals. We propose an adaptive importance sampling (AIS) scheme…
In applications of Gaussian processes where quantification of uncertainty is a strict requirement, it is necessary to accurately characterize the posterior distribution over Gaussian process covariance parameters. Normally, this is done by…
For multi-view data in reality, part of its elements may be missing because of human or machine error. Incomplete multi-view clustering (IMC) clusters the incomplete multi-view data according to the characters of various views of the…
Most applications of Bayesian Inference for parameter estimation and model selection in astrophysics involve the use of Monte Carlo techniques such as Markov Chain Monte Carlo (MCMC) and nested sampling. However, these techniques are time…
A Bayesian procedure is developed for multivariate stochastic volatility, using state space models. An autoregressive model for the log-returns is employed. We generalize the inverted Wishart distribution to allow for different correlation…
In this paper we develop a Bayesian procedure for estimating multivariate stochastic volatility (MSV) using state space models. A multiplicative model based on inverted Wishart and multivariate singular beta distributions is proposed for…
The posterior probability distribution for a set of model parameters encodes all that the data have to tell us in the context of a given model; it is the fundamental quantity for Bayesian parameter estimation. In order to infer the…
This paper introduces a framework for speeding up Bayesian inference conducted in presence of large datasets. We design a Markov chain whose transition kernel uses an (unknown) fraction of (fixed size) of the available data that is randomly…
This paper proposes an Adaptive Stochastic Model Predictive Control (MPC) strategy for stable linear time-invariant systems in the presence of bounded disturbances. We consider multi-input, multi-output systems that can be expressed by a…
This study presents contemporaneous modeling of asset return and price range within the framework of stochastic volatility with leverage. A new representation of the probability density function for the price range is provided, and its…