bbefkr (version 4.2)

SIF: Simulation inefficiency factor

Description

Calculate the simulation inefficiency factor, as a means of checking the convergence of MCMC

Usage

SIF(BAND_MATRIX, NUM_ITERATIONS, NUM_BATCH)

Arguments

BAND_MATRIX

Bandwidth parameters drawn from the MCMC

NUM_ITERATIONS

Number of total iterations

NUM_BATCH

Number of batch samples

Value

Numerical values

References

S. Kim, N. Shephard and S. Chib (1998) `Stochastic volatility: likelihood inference and comparison with ARCH models', The Review of Economic Studies, 65(3), 361-393.

R. Meyer and J. Yu (2000) `BUGS for a Bayesian analysis of stochastic volatility models', Econometrics Journal, 3(2), 198-215.

Y. K. Tse, X. Zhang and J. Yu (2004) `Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method', Quantitative finance, 4(2), 158-169.

X. Zhang, R. D. Brooks and M. L. King (2009) `A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation', Journal of Econometrics, 153(1), 21-32.