37,918 research outputs found
Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks
This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model selection by the posterior odds. For a cointegrated model, cointegrating rank is also allowed to change with breaks. Bayesian approach by Strachan (Journal of Business and Economic Statistics 21 (2003) 185) and Strachan and Inder (Journal of Econometrics 123 (2004) 307) are applied to estimate the cointegrating vectors. As empirical examples, we investigate structural changes in the predictive power of the yield curve and the US term structure of interest rates. We find strong evidence of three structural changes in both applications.Bayesian inference, Structural break, Cointegration, Bayes factor
Computational Methods for Probabilistic Inference of Sector Congestion in Air Traffic Management
This article addresses the issue of computing the expected cost functions
from a probabilistic model of the air traffic flow and capacity management. The
Clenshaw-Curtis quadrature is compared to Monte-Carlo algorithms defined
specifically for this problem. By tailoring the algorithms to this model, we
reduce the computational burden in order to simulate real instances. The study
shows that the Monte-Carlo algorithm is more sensible to the amount of
uncertainty in the system, but has the advantage to return a result with the
associated accuracy on demand. The performances for both approaches are
comparable for the computation of the expected cost of delay and the expected
cost of congestion. Finally, this study shows some evidences that the
simulation of the proposed probabilistic model is tractable for realistic
instances.Comment: Interdisciplinary Science for Innovative Air Traffic Management
(2013
Sequential Quasi-Monte Carlo
We derive and study SQMC (Sequential Quasi-Monte Carlo), a class of
algorithms obtained by introducing QMC point sets in particle filtering. SQMC
is related to, and may be seen as an extension of, the array-RQMC algorithm of
L'Ecuyer et al. (2006). The complexity of SQMC is , where is
the number of simulations at each iteration, and its error rate is smaller than
the Monte Carlo rate . The only requirement to implement SQMC is
the ability to write the simulation of particle given as a
deterministic function of and a fixed number of uniform variates.
We show that SQMC is amenable to the same extensions as standard SMC, such as
forward smoothing, backward smoothing, unbiased likelihood evaluation, and so
on. In particular, SQMC may replace SMC within a PMCMC (particle Markov chain
Monte Carlo) algorithm. We establish several convergence results. We provide
numerical evidence that SQMC may significantly outperform SMC in practical
scenarios.Comment: 55 pages, 10 figures (final version
Application of Sequential Quasi-Monte Carlo to Autonomous Positioning
Sequential Monte Carlo algorithms (also known as particle filters) are
popular methods to approximate filtering (and related) distributions of
state-space models. However, they converge at the slow rate, which
may be an issue in real-time data-intensive scenarios. We give a brief outline
of SQMC (Sequential Quasi-Monte Carlo), a variant of SMC based on
low-discrepancy point sets proposed by Gerber and Chopin (2015), which
converges at a faster rate, and we illustrate the greater performance of SQMC
on autonomous positioning problems.Comment: 5 pages, 4 figure
Bootstrap Hypothesis Testing
This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for generating bootstrap samples for regression models and other types of model. As an illustration, a simulation experiment examines the performance of several methods of bootstrapping the supF test for structural change with an unknown break point.bootstrap test, supF test, wild bootstrap, pairs bootstrap, moving block bootstrap, residual bootstrap, bootstrap P value
Super-Droplet Method for the Numerical Simulation of Clouds and Precipitation: a Particle-Based Microphysics Model Coupled with Non-hydrostatic Model
A novel simulation model of cloud microphysics is developed, which is named
Super-Droplet Method (SDM). SDM enables accurate calculation of cloud
microphysics with reasonable cost in computation. A simple SDM for warm rain,
which incorporates sedimentation, condensation/evaporation, stochastic
coalescence, is developed. The methodology to couple SDM and a non-hydrostatic
model is also developed. It is confirmed that the result of our Monte Carlo
scheme for the coalescence of super-droplets agrees fairly well with the
solution of stochastic coalescence equation. A preliminary simulation of a
shallow maritime cumulus formation initiated by a warm bubble is presented to
demonstrate the practicality of SDM. Further discussions are devoted for the
extension and the computational efficiency of SDM to incorporate various
properties of clouds, such as, several types of ice crystals, several sorts of
soluble/insoluble CCNs, their chemical reactions, electrification, and the
breakup of droplets. It is suggested that the computational cost of SDM becomes
lower than spectral (bin) method when the number of attributes becomes
larger than some critical value, which may be
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