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Parameterisation and efficient MCMC estimation of non-Gaussian state space models

Strickland, Christopher Mark, Martin, Gael, & Forbes, Catherine (2008) Parameterisation and efficient MCMC estimation of non-Gaussian state space models. Computational Statistics and Data Analysis, 52(6), pp. 2911-2930.

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Abstract

The impact of parameterisation on the simulation efficiency of Bayesian Markov chain Monte Carlo (MCMC) algorithms for two non-Gaussian state space models is examined. Specifically, focus is given to particular forms of the stochastic conditional duration (SCD) model and the stochastic volatility (SV) model, with four alternative parameterisations of each model considered. A controlled experiment using simulated data reveals that relationships exist between the simulation efficiency of the MCMC sampler, the magnitudes of the population parameters and the particular parameterisation of the state space model. Results of an empirical analysis of two separate transaction data sets for the SCD model, as well as equity and exchange rate data sets for the SV model, are also reported. Both the simulation and empirical results reveal that substantial gains in simulation efficiency can be obtained from simple reparameterisations of both types of non-Gaussian state space models.

Impact and interest:

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7 citations in Web of Science®

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ID Code: 18187
Item Type: Journal Article
Additional URLs:
Keywords: Bayesian Estimation, Non-centred Parameterisations, Stochastic Volatility Model, Stochastic Conditional Duration Model
DOI: 10.1016/j.csda.2007.10.010
ISSN: 0167-9473
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Econometric and Statistical Methods (140302)
Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
Divisions: Past > QUT Faculties & Divisions > Faculty of Science and Technology
Past > Schools > Mathematical Sciences
Deposited On: 24 Apr 2009 13:46
Last Modified: 29 Feb 2012 23:49

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