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Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation

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  • Yin, Ming

Abstract

In this paper, we propose using Bayesian sequential Monte Carlo (SMC) algorithm to estimate the univariate Gaussian mixture autoregressive (GMAR) model. The prominent benefit of the Bayesian approach is that the stationarity restriction required by the GAMR model can be straightforwardly imposed via prior distribution. In addition, compared to MCMC (Markov Chain Monte Carlo) and other simulation based algorithms, the SMC is robust to multimodal posteriors, and capable of providing fast on-line estimation when new data is available. Furthermore, it has a linear computational complexity and is ready for parallelism. To demostrate the SMC, an empirical application with US GDP growth data is considered. After estimation, we conduct the Bayesian model selection to evaluate the empirical evidence for different GMAR models. To facilitate the realization of this compute-intensive estimation, we parallelize the SMC algorithm on a nVidia CUDA compatible Graphical Process Unit (GPU) card.

Suggested Citation

  • Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    • Handle: RePEc:pra:mprapa:88111
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    References listed on IDEAS

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    More about this item

    Keywords

    Nonlinear Time Series; Gaussian mixture autoregressive; Sequential Monte Carlo; Particle Filter; Bayesian Inference; GPGPU; Parallel Computing;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C88 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other Computer Software

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