Authors: Khaled Ouafi
We investigate the issue of approximate Bayesian parameter inference in nonlinear state space models with complex likelihoods. Sequential Monte Carlo with approximate Bayesian computations (SMC-ABC) is an approach to approximate the likelihood in this type of models. However, such approximations can be noisy and computationally expensive which hinders cost-effective implementations using standard methods based on optimisation and statistical simulation. We propose a innovational method based on the combination of Gaussian process optimisation (GPO) and SMC-ABC to create a Laplace approximation of the intractable posterior. The properties of the resulting GPO-ABC method are studied using stochastic volatility (SV) models with both synthetic and real-world data. We conclude that the algorithm enjoys: good accuracy comparable to particle Markov chain Monte Carlo with a significant reduction in computational cost and better robustness to noise in the estimates compared with a gradient-based optimisation algorithm. Finally, we make use of GPO-ABC to estimate the Value-at-Risk for a portfolio using a copula model with SV models for the margins.
Comments: 9 Pages.
[v1] 2015-07-05 07:21:38
Unique-IP document downloads: 52 times
Vixra.org is a pre-print repository rather than a journal. Articles hosted may not yet have been verified by peer-review and should be treated as preliminary. In particular, anything that appears to include financial or legal advice or proposed medical treatments should be treated with due caution. Vixra.org will not be responsible for any consequences of actions that result from any form of use of any documents on this website.
Add your own feedback and questions here:
You are equally welcome to be positive or negative about any paper but please be polite. If you are being critical you must mention at least one specific error, otherwise your comment will be deleted as unhelpful.