Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

25 Pages Posted: 2 Aug 2017

See all articles by Maciej Marówka

Maciej Marówka

Imperial College London - Department of Mathematics

Gareth Peters

Department of Actuarial Mathematics and Statistics, Heriot-Watt University; University College London - Department of Statistical Science; University of Oxford - Oxford-Man Institute of Quantitative Finance; London School of Economics & Political Science (LSE) - Systemic Risk Centre; University of New South Wales (UNSW) - Faculty of Science

Nikolas Kantas

Imperial College London

Guillaume Bagnarosa

ESC Rennes School of Business

Date Written: July 31, 2017

Abstract

We consider multivariate time series that exhibit reduced rank cointegration, which means a lower dimensional linear projection of the process becomes stationary. We will review recent suitable Markov Chain Monte Carlo approaches for Bayesian inference such as the Gibbs sampler and the Geodesic Hamiltonian Monte Carlo method. Then we will propose extensions that can allow the ideas in both methods to be applied for cointegrated time series with non-Gaussian noise. We illustrate the efficiency and accuracy of these extensions using appropriate numerical experiments.

Keywords: Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning

Suggested Citation

Marówka, Maciej and Peters, Gareth and Kantas, Nikolas and Bagnarosa, Guillaume, Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series (July 31, 2017). Available at SSRN: https://ssrn.com/abstract=3011343 or http://dx.doi.org/10.2139/ssrn.3011343

Maciej Marówka

Imperial College London - Department of Mathematics ( email )

South Kensington Campus
Imperial College
LONDON, SW7 2AZ
United Kingdom

Gareth Peters (Contact Author)

Department of Actuarial Mathematics and Statistics, Heriot-Watt University ( email )

Edinburgh Campus
Edinburgh, EH14 4AS
United Kingdom

HOME PAGE: http://garethpeters78.wixsite.com/garethwpeters

University College London - Department of Statistical Science ( email )

1-19 Torrington Place
London, WC1 7HB
United Kingdom

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

University of Oxford Eagle House
Walton Well Road
Oxford, OX2 6ED
United Kingdom

London School of Economics & Political Science (LSE) - Systemic Risk Centre ( email )

Houghton St
London
United Kingdom

University of New South Wales (UNSW) - Faculty of Science ( email )

Australia

Nikolas Kantas

Imperial College London ( email )

South Kensington Campus
Exhibition Road
London, Greater London SW7 2AZ
United Kingdom

Guillaume Bagnarosa

ESC Rennes School of Business ( email )

2, RUE ROBERT D'ARBRISSEL
Rennes, 35065
France

Register to save articles to
your library

Register

Paper statistics

Downloads
47
Abstract Views
197
PlumX Metrics