Comparing MCMC algorithms in Stochastic Volatility Models using Simulation Based Calibration
利用基于模拟的校准比较随机波动模型中的 MCMC 算法
Simulation Based Calibration (SBC) is applied to analyse two commonly used, competing Markov chain Monte Carlo algorithms for estimating the posterior distribution of a stochastic volatility model. In particular, the bespoke 'off-set mixture approximation' algorithm proposed by Kim, Shephard, and Chib (1998) is explored together with a Hamiltonian Monte Carlo algorithm implemented through Stan. The SBC analysis involves a simulation study to assess whether each sampling…