Exact Bayesian inference for Markov switching diffusions
提出首个精确贝叶斯推断方法，用于离散观测的制度切换扩散模型，通过MCMC和MCEM算法估计参数，计算成本与离散近似相当但规避其缺点，适合计量经济学和机器学习研究者。
Abstract We develop the first exact Bayesian methodology for the problem of inference in discretely observed regime switching diffusions. Switching diffusion models extend ordinary diffusions by allowing for jumps in instantaneous drift and volatility. The jumps are driven by a latent, continuous-time Markov switching process. We address the problem through an MCMC and an MCEM algorithm that target the exact posterior of diffusion parameters and the latent regime process. The algorithms are exact in the sense that they target the correct posterior distribution of the continuous model, so that the errors are due to Monte Carlo only. We illustrate the method on numerical examples, including an empirical analysis of the method’s scalability in the length of the time series, and find that it is comparable in computational cost with discrete approximations while avoiding their shortcomings.