The Block-Correlated Pseudo Marginal Sampler for State Space Models

TL;DR

This paper introduces a scalable and efficient Particle Marginal Metropolis-Hastings method for Bayesian inference in high-dimensional state space models, utilizing innovative filtering, sorting, and likelihood estimation techniques.

Contribution

It develops a novel block PMMH algorithm with an auxiliary disturbance filter and a fast sorting algorithm, improving scalability and efficiency over previous methods.

Findings

Enhanced performance in high-dimensional models

Effective handling of intractable state transition densities

Faster likelihood correlation preservation

Abstract

Particle Marginal Metropolis-Hastings (PMMH) is a general approach to Bayesian inference when the likelihood is intractable, but can be estimated unbiasedly. Our article develops an efficient PMMH method that scales up better to higher dimensional state vectors than previous approaches. The improvement is achieved by the following innovations. First, the trimmed mean of the unbiased likelihood estimates of the multiple particle filters is used. Second, a novel block version of PMMH that works with multiple particle filters is proposed. Third, the article develops an efficient auxiliary disturbance particle filter, which is necessary when the bootstrap disturbance filter is inefficient, but the state transition density cannot be expressed in closed form. Fourth, a novel sorting algorithm, which is as effective as previous approaches but significantly faster than them, is developed to preserve the correlation between the logs of the likelihood estimates at the current and proposed parameter values. The performance of the sampler is investigated empirically by applying it to non-linear Dynamic Stochastic General Equilibrium models with relatively high state dimensions and with intractable state transition densities and to multivariate stochastic volatility in the mean models. Although our focus is on applying the method to state space models, the approach will be useful in a wide range of applications such as large panel data models and stochastic differential equation models with mixed effects.