The Autoregressive Inverse‐Wishart Multivariate Stochastic Volatility Model and Its Factor Extension
自回归逆Wishart多元随机波动模型及其因子扩展
ABSTRACT Despite its conceptual appeal, the autoregressive inverse‐Wishart (AIW) multivariate stochastic volatility model has been hindered by inefficient sampling methods. The existing samplers for the latent covariance matrix severely suffer from the curse of dimensionality and only work when the dimension is very low. In this paper, we introduce a new proposal for the latent covariance matrix in the AIW model, which demonstrates far better scalability. We introduce…