Efficient Bayesian inference for multivariate factor stochastic volatility models with leverage

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 distribution of the latent volatilities and the parameters of interest of the Factor MSV model based on recent advances in Particle Markov chain Monte Carlo (PMCMC). As opposed to the approach of Chib et al. (2006} and Omori et al. (2007}, our approach does not require approximating the joint distribution of outcome and volatility innovations by a mixture of bivariate normal distributions. To sample the free elements of the loading matrix we employ the interweaving method used in Kastner et al. (2017} in the Particle Metropolis within Gibbs (PMwG) step. The proposed method is illustrated empirically using a simulated dataset and a sample of daily US stock returns.Comment: 4 figures and 9 table

On Scalable Particle Markov Chain Monte Carlo

Particle Markov Chain Monte Carlo (PMCMC) is a general approach to carry out Bayesian inference in non-linear and non-Gaussian state space models. Our article shows how to scale up PMCMC in terms of the number of observations and parameters by expressing the target density of the PMCMC in terms of the basic uniform or standard normal random numbers, instead of the particles, used in the sequential Monte Carlo algorithm. Parameters that can be drawn efficiently conditional on the particles are generated by particle Gibbs. All the other parameters are drawn by conditioning on the basic uniform or standard normal random variables; e.g. parameters that are highly correlated with the states, or parameters whose generation is expensive when conditioning on the states. The performance of this hybrid sampler is investigated empirically by applying it to univariate and multivariate stochastic volatility models having both a large number of parameters and a large number of latent states and shows that it is much more efficient than competing PMCMC methods. We also show that the proposed hybrid sampler is ergodic

Mixed Marginal Copula Modeling

This article extends the literature on copulas with discrete or continuous marginals to the case where some of the marginals are a mixture of discrete and continuous components. We do so by carefully defining the likelihood as the density of the observations with respect to a mixed measure. The treatment is quite general, although we focus focus on mixtures of Gaussian and Archimedean copulas. The inference is Bayesian with the estimation carried out by Markov chain Monte Carlo. We illustrate the methodology and algorithms by applying them to estimate a multivariate income dynamics model.Comment: 46 pages, 8 tables and 4 figure

Suns-VOC_\textrm{OC} characteristics of high performance kesterite solar cells

Low open circuit voltage ($V_{OC}$) has been recognized as the number one problem in the current generation of Cu$_{2}$ZnSn(Se,S)$_{4}$ (CZTSSe) solar cells. We report high light intensity and low temperature Suns-$V_{OC}$ measurement in high performance CZTSSe devices. The Suns-$V_{OC}$ curves exhibit bending at high light intensity, which points to several prospective $V_{OC}$ limiting mechanisms that could impact the $V_{OC}$, even at 1 sun for lower performing samples. These V$_{OC}$ limiting mechanisms include low bulk conductivity (because of low hole density or low mobility), bulk or interface defects including tail states, and a non-ohmic back contact for low carrier density CZTSSe. The non-ohmic back contact problem can be detected by Suns-$V_{OC}$ measurements with different monochromatic illumination. These limiting factors may also contribute to an artificially lower $J_{SC}$-$V_{OC}$ diode ideality factor.Comment: 9 pages, 9 figures, 1 supplementary materia

Flexible Variational Bayes based on a Copula of a Mixture of Normals

Variational Bayes methods approximate the posterior density by a family of tractable distributions and use optimisation to estimate the unknown parameters of the approximation. Variational approximation is useful when exact inference is intractable or very costly. Our article develops a flexible variational approximation based on a copula of a mixture of normals, which is implemented using the natural gradient and a variance reduction method. The efficacy of the approach is illustrated by using simulated and real datasets to approximate multimodal, skewed and heavy-tailed posterior distributions, including an application to Bayesian deep feedforward neural network regression models. Each example shows that the proposed variational approximation is much more accurate than the corresponding Gaussian copula and a mixture of normals variational approximations.Comment: 39 page