Search Results

SORT BY: PREVIOUS / NEXT
Keywords:Rao-Blackwellization 

Working Paper
Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility

We develop a sequential Monte Carlo (SMC) algorithm for Bayesian inference in vector autoregressions with stochastic volatility (VAR-SV). The algorithm builds particle approximations to the sequence of the model’s posteriors, adapting the particles from one approximation to the next as the window of available data expands. The parallelizability of the algorithm’s computations allows the adaptations to occur rapidly. Our particular algorithm exploits the ability to marginalize many parameters from the posterior analytically and embeds a known Markov chain Monte Carlo (MCMC) algorithm for ...
Working Papers , Paper 19-29

FILTER BY Bank

FILTER BY Series

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

C11 1 items

C32 1 items

C51 1 items

E17 1 items

PREVIOUS / NEXT