Tempered Particle Filtering

Friday, March 24, 2017 - 3:30pm

Speaker(s): 
Frank Schorfheide, Penn Arts & Sciences

Abstract: 

The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter, this distribution is generated by the state-transition equation. While straightforward to implement, the practical performance is often poor. We develop a self-tuning particle filter in which the proposal distribution is constructed adaptively through a sequence of Monte Carlo steps. Intuitively, we start from a measurement error distribution with an inflated variance, and then gradually reduce the variance to its nominal level in a sequence of steps that we call tempering. We show that the filter generates an unbiased and consistent approximation of the likelihood function. Holding the run time fixed, our filter is substantially more accurate in two DSGE model applications than the bootstrap particle filter.

Seminars generally take place in 116 Old Chem Building on Fridays from 3:30 - 4:30 pm. For additional information contact: karen.whitesell@duke.edu or phone 919-684-8029. Sorry, but we do not have reprints available. Please feel free to contact the authors by email for follow-up information, articles, etc. Reception following seminar in 211 Old Chemistry

Old Chemistry 116

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