Quotation Kastner, Gregor, Frühwirth-Schnatter, Sylvia, Lopes, Hedibert Freitas. 2017. Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models. Journal of Computational and Graphical Statistics. 26 (4), 905-917.




We discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, 2011) to substantially accelerate convergence and mixing of standard MCMC approaches. Similar to marginal data augmentation techniques, the proposed acceleration procedures exploit non-identifiability issues which frequently arise in factor models. Our new interweaving strategies are easy to implement and come at almost no extra computational cost; nevertheless, they can boost estimation efficiency by several orders of magnitude as is shown in extensive simulation studies. To conclude, the application of our algorithm to a 26-dimensional exchange rate data set illustrates the superior performance of the new approach for real-world data.


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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Journal of Computational and Graphical Statistics
Citation Index SCI
WU-Journal-Rating new FIN-A, VW-C
Language English
Title Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models
Volume 26
Number 4
Year 2017
Page from 905
Page to 917
Reviewed? Y
URL https://www.tandfonline.com/doi/full/10.1080/10618600.2017.1322091
DOI https://doi.org/10.1080/10618600.2017.1322091
Open Access Y
Open Access Link https://www.tandfonline.com/doi/full/10.1080/10618600.2017.1322091


Kastner, Gregor (Details)
Frühwirth-Schnatter, Sylvia (Details)
Lopes, Hedibert Freitas (Insper, Brazil)
Institute for Statistics and Mathematics IN (Details)
Research areas (ÖSTAT Classification 'Statistik Austria')
1105 Computer software (Details)
1162 Statistics (Details)
5323 Econometrics (Details)
5701 Applied statistics (Details)
5707 Time series analysis (Details)
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