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dc.contributor.authorStrid, Ingvaren_US
dc.date.accessioned2012-02-15en_US
dc.date.accessioned2012-03-28T13:11:33Z-
dc.date.available2012-03-28T13:11:33Z-
dc.date.issued2008en_US
dc.identifier.urihttp://hdl.handle.net/10419/56369-
dc.description.abstractPrefetching is a simple and general method for single-chain parallelisation of the Metropolis-Hastings algorithm based on the idea of evaluating the posterior in parallel and ahead of time. Improved Metropolis-Hastings prefetching algorithms are presented and evaluated. It is shown how to use available information to make better predictions of the future states of the chain and increase the efficiency of prefetching considerably. The optimal acceptance rate for the prefetching random walk Metropolis-Hastings algorithm is obtained for a special case and it is shown to decrease in the number of processors employed. The performance of the algorithms is illustrated using a well-known macroeconomic model. Bayesian estimation of DSGE models, linearly or nonlinearly approximated, is identi…ed as a potential area of application for prefetching methods. The generality of the proposed method, however, suggests that it could be applied in other contexts as well.en_US
dc.language.isoengen_US
dc.publisherEkonomiska Forskningsinst. Stockholmen_US
dc.relation.ispartofseriesSSE/EFI Working Paper Series in Economics and Finance 706en_US
dc.subject.jelC11en_US
dc.subject.jelC13en_US
dc.subject.jelC63en_US
dc.subject.ddc330en_US
dc.subject.keywordPrefetchingen_US
dc.subject.keywordMetropolis-Hastingsen_US
dc.subject.keywordParallel Computingen_US
dc.subject.keywordDSGE modelsen_US
dc.subject.keywordOptimal acceptance rateen_US
dc.subject.keywordMarkov Chain Monte Carlo (MCMC)en_US
dc.subject.stwMathematische Optimierungen_US
dc.subject.stwAlgorithmusen_US
dc.subject.stwBayes-Statistiken_US
dc.subject.stwDynamisches Gleichgewichten_US
dc.subject.stwTheorieen_US
dc.titleMetropolis-Hastings prefetching algorithmsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn587124989en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics

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