10,847 research outputs found
Sequential Monte Carlo with Highly Informative Observations
We propose sequential Monte Carlo (SMC) methods for sampling the posterior
distribution of state-space models under highly informative observation
regimes, a situation in which standard SMC methods can perform poorly. A
special case is simulating bridges between given initial and final values. The
basic idea is to introduce a schedule of intermediate weighting and resampling
times between observation times, which guide particles towards the final state.
This can always be done for continuous-time models, and may be done for
discrete-time models under sparse observation regimes; our main focus is on
continuous-time diffusion processes. The methods are broadly applicable in that
they support multivariate models with partial observation, do not require
simulation of the backward transition (which is often unavailable), and, where
possible, avoid pointwise evaluation of the forward transition. When simulating
bridges, the last cannot be avoided entirely without concessions, and we
suggest an epsilon-ball approach (reminiscent of Approximate Bayesian
Computation) as a workaround. Compared to the bootstrap particle filter, the
new methods deliver substantially reduced mean squared error in normalising
constant estimates, even after accounting for execution time. The methods are
demonstrated for state estimation with two toy examples, and for parameter
estimation (within a particle marginal Metropolis--Hastings sampler) with three
applied examples in econometrics, epidemiology and marine biogeochemistry.Comment: 25 pages, 11 figure
Recommended from our members
Robust Bartlett adjustment for hypotheses testing on cointegrating vectors: A bootstrap approach
Johansen's (2000) Bartlett correction factor for the LR test of linear restrictions on cointegrated vectors is derived under the i.i.d. Gaussian assumption for the innovation terms. However, the distribution of most data relating to financial variables are fat-tailed and often skewed, there is therefore a need to examine small sample inference procedures that require weaker assumptions for the innovation term. This paper suggests that using a non-parametric bootstrap to approximate a Bartlett-type correction provides a statistic that does not require specification of the innovation distribution and can be used by applied econometricians to perform a small sample inference procedure that is less computationally demanding than estimating the p-value of the observed statistic
Resampling Procedures with Empirical Beta Copulas
The empirical beta copula is a simple but effective smoother of the empirical
copula. Because it is a genuine copula, from which, moreover, it is
particularly easy to sample, it is reasonable to expect that resampling
procedures based on the empirical beta copula are expedient and accurate. In
this paper, after reviewing the literature on some bootstrap approximations for
the empirical copula process, we first show the asymptotic equivalence of
several bootstrapped processes related to the empirical copula and empirical
beta copula. Then we investigate the finite-sample properties of resampling
schemes based on the empirical (beta) copula by Monte Carlo simulation. More
specifically, we consider interval estimation for some functionals such as rank
correlation coefficients and dependence parameters of several well-known
families of copulas, constructing confidence intervals by several methods and
comparing their accuracy and efficiency. We also compute the actual size and
power of symmetry tests based on several resampling schemes for the empirical
copula and empirical beta copula.Comment: 22 pages, 8 table
Bootstrap predictive inference for ARIMA processes
In this study, we propose a new bootstrap strategy to obtain prediction intervals for autoregressive integrated moving-average processes. Its main advantage over other bootstrap methods previously proposed for autoregressive integrated processes is that variability due to parameter estimation can be incorporated into prediction intervals without requiring the backward representation of the process. Consequently, the procedure is very flexible and can be extended to processes even if their backward representation is not available. Furthermore, its implementation is very simple. The asymptotic properties of the bootstrap prediction densities are obtained. Extensive finite-sample Monte Carlo experiments are carried out to compare the performance of the proposed strategy vs. alternative procedures. The behaviour of our proposal equals or outperforms the alternatives in most of the cases. Furthermore, our bootstrap strategy is also applied for the first time to obtain the prediction density of processes with moving-average components.Publicad
- …