Matrix-state particle filters for Wishart stochastic volatility processes

Abstract: This work deals with multivariate stochastic volatility models, which account for a time-varying variance-covariance structure of the observable variables. We focus on a special class of models recently proposed in the literature and assume that the covariance matrix is a latent variable which follows an autoregressive Wishart process. We review two alternative stochastic representations of the Wishart process and propose Markov-Switching Wishart processes to capture different regimes in the volatility level. We apply a full Bayesian inference approach, which relies upon Sequential Monte Carlo (SMC) for matrix-valued distributions and allows us to sequentially estimate both the parameters and the latent variables

Interacting Multiple Try Algorithms with Different Proposal Distributions

We propose a new class of interacting Markov chain Monte Carlo (MCMC) algorithms designed for increasing the efficiency of a modified multiple-try Metropolis (MTM) algorithm. The extension with respect to the existing MCMC literature is twofold. The sampler proposed extends the basic MTM algorithm by allowing different proposal distributions in the multiple-try generation step. We exploit the structure of the MTM algorithm with different proposal distributions to naturally introduce an interacting MTM mechanism (IMTM) that expands the class of population Monte Carlo methods. We show the validity of the algorithm and discuss the choice of the selection weights and of the different proposals. We provide numerical studies which show that the new algorithm can perform better than the basic MTM algorithm and that the interaction mechanism allows the IMTM to efficiently explore the state space

Bayesian inference in dynamic models with latent factors

In time series analysis, latent factors are often introduced to model the heterogeneous time evolution of the observed process. The presence of unobserved components makes the maximum likelihood estimation method more difficult to apply. Thus a Bayesian approach is sometimes preferable since it allows to treat general state space models and makes easier the simulation based approach to parameters estimation and latent factors filtering. The paper examines economic time series models in a Bayesian perspective focusing, through some examples, on the extraction of the Business Cycle components like cycle and trend. We briefly review some general univariate and multivariate Bayesian dynamic models and discuss the simulation based techniques, such as Gibbs sampling, adaptive importance sampling and particle filter, useful for parameter estimation and latent factor extraction

An update on treatment options for interstitial cystitis

Interstitial cystitis or bladder pain syndrome (IC/BPS) is a chronic pelvic pain syndrome related to the urinary bladder. The ideal treatment should match as much as possible with the pathophysiologic causes of the IC/BPS, but the scarcely available evidence limits this approach, with the majority of available treatments that are primarily targeted to the control of symptoms. The treatment strategies have traditionally focused on the bladder, which is considered the primary end-organ and source of pain. Nevertheless, the growing body of evidence suggests a multifaceted nature of the disease with systemic components. In general, guidelines recommend the personalized and progressive approach, that starts from the more conservative options and then advances toward more invasive and combined treatments. The behavioral changes represent the first and most conservative steps. They can be combined with oral medications or progressively with intravesical instillation of drugs, up to more invasive techniques in a combined way. Despite the multiple available options, the optimal treatment is not easy to be found. Only further investigation on the etiopathogenetic mechanisms, taking into account the differences among subgroups, and the interaction between central and peripherical factors may allow providing a real improvement in the treatment and management of these patients