Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox

27 Pages Posted: 4 May 2015

See all articles by Roberto Casarin

Roberto Casarin

University Ca' Foscari of Venice - Department of Economics

Stefano Grassi

University of Kent - Canterbury Campus

Francesco Ravazzolo

Free University of Bolzano

H. K. van Dijk

Tinbergen Institute; Econometric Institute

Multiple version iconThere are 3 versions of this paper

Date Written: July 24, 2014

Abstract

This paper presents the MATLAB package DeCo (density combination) which is based on the paper by Billio, Casarin, Ravazzolo, and van Dijk (2013) where a constructive Bayesian approach is presented for combining predictive densities originating from different models or other sources of information. The combination weights are time-varying and may depend on past predictive forecasting performances and other learning mechanisms. The core algorithm is the function DeCo which applies banks of parallel Sequential Monte Carlo algorithms to filter the time-varying combination weights. The DeCo procedure has been implemented both for standard CPU computing and for graphical process unit (GPU) parallel computing. For the GPU implementation we use the MATLAB parallel computing toolbox and show how to use general purpose GPU computing almost effortlessly. This GPU implementation provides a speed up of the execution time of up to seventy times on a standard CPU MATLAB implementation on a multicore CPU. We show the use of the package and the computational gain of the GPU version through some simulation experiments and empirical applications.

Keywords: Density forecast combination, sequential Monte Carlo, parallel computing, GPU, MATLAB

Suggested Citation

Casarin, Roberto and Grassi, Stefano and Ravazzolo, Francesco and van Dijk, Herman K., Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo MATLAB Toolbox (July 24, 2014). Norges Bank Working Paper 11 | 2014. Available at SSRN: https://ssrn.com/abstract=2602418 or http://dx.doi.org/10.2139/ssrn.2602418

Roberto Casarin (Contact Author)

University Ca' Foscari of Venice - Department of Economics ( email )

San Giobbe 873/b
Venice, 30121
Italy
+39 030.298.91.49 (Phone)
+39 030.298.88.37 (Fax)

HOME PAGE: http://venus.unive.it/r.casarin/

Stefano Grassi

University of Kent - Canterbury Campus ( email )

Keynes College
Canterbury, Kent CT2 7NP
United Kingdom

Francesco Ravazzolo

Free University of Bolzano ( email )

Bolzano
Italy

Herman K. Van Dijk

Tinbergen Institute ( email )

Gustav Mahlerplein 117
Burg. Oudlaan 50
Amsterdam/Rotterdam, 1082 MS
Netherlands
+31104088955 (Phone)
+31104089031 (Fax)

HOME PAGE: http://people.few.eur.nl/hkvandijk/

Econometric Institute ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31 10 4088955 (Phone)
+31 10 4527746 (Fax)

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