Journal Article10.2139/SSRN.2511221
An Efficient Parallel Simulation Method for Posterior Inference on Paths of Markov Processes
Matthias Held,Marcel Omachel +1 more
1
TL;DR: This paper proposes a method for efficient simulation of paths of latent Markovian state processes in a Markov Chain Monte Carlo setting by breaking the sequential nature of commonly encountered state simulation routines.
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Abstract: In this note, we propose a method for efficient simulation of paths of latent Markovian state processes in a Markov Chain Monte Carlo setting. Our method harnesses available parallel computing power by breaking the sequential nature of commonly encountered state simulation routines. We offer a worked example that highlights the computational merits of our approach.
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References
Equation of state calculations by fast computing machines
TL;DR: In this article, a modified Monte Carlo integration over configuration space is used to investigate the properties of a two-dimensional rigid-sphere system with a set of interacting individual molecules, and the results are compared to free volume equations of state and a four-term virial coefficient expansion.
A New Approach to Linear Filtering and Prediction Problems
Tamer Basar
- 01 Jan 2001
TL;DR: In this paper, the clssical filleting and prediclion problem is re-examined using the Bode-Shannon representation of random processes and the?stat-tran-sition? method of analysis of dynamic systems.
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Stochastic volatility : likelihood inference and comparison with arch models
TL;DR: In this paper, Markov chain Monte Carlo sampling methods are exploited to provide a unified, practical likelihood-based framework for the analysis of stochastic volatility models, and a highly effective method is developed that samples all the unobserved volatilities at once using an approximate offset mixture model, followed by an importance reweighting procedure.
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