An Efficient Markov-Chain Monte Carlo Method for the State Space Models with Stochastic Volatility

2013 ◽  
Author(s):  
Yu-Fan Huang
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
Monte Carlo Method ◽  
State Space ◽  
Stochastic Volatility ◽  
The State ◽  
State Space Models

scholarly journals Markov Chain Monte Carlo Methods for State-Space Models with Point Process Observations

2012 ◽  
Vol 24 (6) ◽  
pp. 1462-1486 ◽  
Author(s):  
Ke Yuan ◽  
Mark Girolami ◽  
Mahesan Niranjan
Keyword(s):  
Monte Carlo ◽  
Markov Chain ◽  
Markov Chain Monte Carlo ◽  
State Space ◽  
Point Process ◽  
Large Data ◽  
State Space Models ◽  
Superior Performance ◽  
Mcmc Methods ◽  
Data Sets

This letter considers how a number of modern Markov chain Monte Carlo (MCMC) methods can be applied for parameter estimation and inference in state-space models with point process observations. We quantified the efficiencies of these MCMC methods on synthetic data, and our results suggest that the Reimannian manifold Hamiltonian Monte Carlo method offers the best performance. We further compared such a method with a previously tested variational Bayes method on two experimental data sets. Results indicate similar performance on the large data sets and superior performance on small ones. The work offers an extensive suite of MCMC algorithms evaluated on an important class of models for physiological signal analysis.

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