Anna Simoni

Bayesian inference, on-line forecasting and model choice for large VAR models with Cholesky stochastic volatility

This work introduces a Markov chain Monte Carlo (MCMC) kernel that mixes better than existing samplers at the same computational complexity, and introduces a Sequential Monte Carlo squared sampler, which delivers at every $t$ the one-step-ahead predictive density and the marginal likelihood of the data up to $t, and he...