Quasi‐Bayesian Estimation of Time‐Varying Volatility in DSGE Models

We propose a novel quasi‐Bayesian Metropolis‐within‐Gibbs algorithm that can be used to estimate drifts in the shock volatilities of a linearized dynamic stochastic general equilibrium (DSGE) model. The resulting volatility estimates differ from the existing approaches in two ways. First, the time variation enters non‐parametrically, so that our approach ensures consistent estimation in a wide class of processes, thereby eliminating the need to specify the volatility law of motion and alleviating the risk of invalid inference due to mis‐specification. Second, the conditional quasi‐posterior of the drifting volatilities is available in closed form, which makes inference straightforward and simplifies existing algorithms. We apply our estimation procedure to a standard DSGE model and find that the estimated volatility paths are smoother compared to alternative stochastic volatility estimates. Moreover, we demonstrate that our procedure can deliver statistically significant improvements to the density forecasts of the DSGE model compared to alternative methods.     

Mixture ratio modeling of dynamic systems

Any knowledge extraction relies (possibly implicitly) on a hypothesis about the modelled-data dependence. The extracted knowledge ultimately serves to a decision-making (DM). DM always faces uncertainty and this makes probabilistic modelling adequate. The inspected black-box modeling deals with “universal” approximators of the relevant probabilistic model. Finite mixtures with components in the exponential family are often exploited. Their attractiveness stems from their flexibility, the cluster interpretability of components and the existence of algorithms for processing high-dimensional data streams. They are even used in dynamic cases with mutually dependent data records while regression and auto-regression mixture components serve to the dependence modeling. These dynamic models, however, mostly assume data-independent component weights, that is, memoryless transitions between dynamic mixture components. Such mixtures are not universal approximators of dynamic probabilistic models. Formally, this follows from the fact that the set of finite probabilistic mixtures is not closed with respect to the conditioning, which is the key estimation and predictive operation. The paper overcomes this drawback by using ratios of finite mixtures as universally approximating dynamic parametric models. The paper motivates them, elaborates their approximate Bayesian recursive estimation and reveals their application potential.     

Bayesian Inference for ARFIMA Models

This article develops practical methods for Bayesian inference in the autoregressive fractionally integrated moving average (ARFIMA) model using the exact likelihood function, any proper prior distribution, and time series that may have thousands of observations. These methods utilize sequentially adaptive Bayesian learning, a sequential Monte Carlo algorithm that can exploit massively parallel desktop computing with graphics processing units (GPUs). The article identifies and solves several problems in the computation of the likelihood function that apparently have not been addressed in the literature. Four applications illustrate the utility of the approach. The most ambitious is an ARFIMA(2,d,2) model for the Campito tree ring time series (length 5405), for which the methods developed in the article provide an essentially uncorrelated sample of size 16,384 from the exact posterior distribution in under four hours. Less ambitious applications take as little as 4 minutes without exploiting GPUs.     

Transport Map sampling with PGD model reduction for fast dynamical Bayesian data assimilation

The motivation of this work is to address real-time sequential inference of parameters with a full Bayesian formulation. First, the proper generalized decomposition (PGD) is used to reduce the computational evaluation of the posterior density in the online phase. Second, Transport Map sampling is used to build a deterministic coupling between a reference measure and the posterior measure. The determination of the transport maps involves the solution of a minimization problem. As the PGD model is quasi-analytical and under a variable separation form, the use of gradient and Hessian information speeds up the minimization algorithm. Eventually, uncertainty quantification on outputs of interest of the model can be easily performed due to the global feature of the PGD solution over all coordinate domains. Numerical examples highlight the performance of the method.     

Nonuniform linear array DOA estimation using EM criterion

In this letter, we address the problem of Direction of Arrival (DOA) estimation with nonuniform linear array in the context of sparse Bayesian learning (SBL) framework. The nonuniform array output is deemed as an incomplete-data observation, and a hypothetical uniform linear array output is treated as an unavailable complete-data observation. Then the Expectation-Maximization (EM) criterion is directly utilized to iteratively maximize the expected value of the complete-data log likelihood under the posterior distribution of the latent variable. The novelties of the proposed method lie in its capability of interpolating the actual received data to a virtual uniform linear array, therefore extending the achievable array aperture. Simulation results manifests the superiority of the proposed method over off-the-shelf algorithms, specially on circumstances such as low SNR, insufficient snapshots, and spatially adjacent sources.     

基于分段加权的反向稀疏跟踪算法研究

为提高稀疏表示跟踪模型性能，提出一种分段加权的反向稀疏跟踪算法，将跟踪问题转化为在贝叶斯框架下寻找概率最高的候选对象问题，构造不同的分段权重函数来分别度量候选目标与正负模板的判别特征系数。通过池化来降低跟踪结果的不确定性干扰，选择正负模板加权系数差值最大的候选表示作为跟踪结果。实验表明，在光照变化、遮挡、快速运动、运动模糊情况下，所提出的算法可以确保跟踪结果的准确性和鲁棒性。