Discussion Papers 2019

CIRJE-F-1126	"Particle Rolling MCMC"
Author Name	Kayaba, Yutaka, Hitoshi Matsushima and Tomohisa Toyama
Date	September 2019
Full Paper	PDF file
Remarks	Revised Version of CIRJE-F-1066 (2017), CIRJE-F-1080 (2018) and CIRJE-F-1110 (2019).

Abstract
An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential Monte Carlo (SMC), particles are sequentially updated to approximate the posterior distribution for each window by learning new information and discarding old information from observations. Th particles are refreshed with an MCMC algorithm when the importance weights degenerate. To avoid degeneracy, which is crucial for reducing the computation time, we introduce a block sampling scheme and generate multiple candidates by the algorithm based on the conditional SMC. The theoretical discussion shows that the proposed methodology with a nested structure is expressed as SMC sampling for the augmented space to provide the justification. The computational performance is evaluated in illustrative examples, showing that the posterior distributions of the model parameters are accurately estimated. The proofs and additional discussions (algorithms and experimental results) are provided in the Supplementary Material.

Abstract

An efficient simulation-based methodology is proposed for the rolling window estimation of state space models, called particle rolling Markov chain Monte Carlo (MCMC) with double block sampling. In our method, which is based on Sequential Monte Carlo (SMC), particles are sequentially updated to approximate the posterior distribution for each window by learning new information and discarding old information from observations. Th particles are refreshed with an MCMC algorithm when the importance weights degenerate. To avoid degeneracy, which is crucial for reducing the computation time, we introduce a block sampling scheme and generate multiple candidates by the algorithm based on the conditional SMC. The theoretical discussion shows that the proposed methodology with a nested structure is expressed as SMC sampling for the augmented space to provide the justification. The computational performance is evaluated in illustrative examples, showing that the posterior distributions of the model parameters are accurately estimated. The proofs and additional discussions (algorithms and experimental results) are provided in the Supplementary Material.