Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56369 
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dc.contributor.authorStrid, Ingvaren
dc.date.accessioned2012-02-15-
dc.date.accessioned2012-03-28T13:11:33Z-
dc.date.available2012-03-28T13:11:33Z-
dc.date.issued2008-
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
dc.language.isoengen
dc.publisher|aStockholm School of Economics, The Economic Research Institute (EFI) |cStockholmen
dc.relation.ispartofseries|aSSE/EFI Working Paper Series in Economics and Finance |x706en
dc.subject.jelC11en
dc.subject.jelC13en
dc.subject.jelC63en
dc.subject.ddc330en
dc.subject.keywordPrefetchingen
dc.subject.keywordMetropolis-Hastingsen
dc.subject.keywordParallel Computingen
dc.subject.keywordDSGE modelsen
dc.subject.keywordOptimal acceptance rateen
dc.subject.keywordMarkov Chain Monte Carlo (MCMC)en
dc.subject.stwMathematische Optimierungen
dc.subject.stwAlgorithmusen
dc.subject.stwBayes-Statistiken
dc.subject.stwDynamisches Gleichgewichten
dc.subject.stwTheorieen
dc.titleMetropolis-Hastings prefetching algorithms-
dc.typeWorking Paperen
dc.identifier.ppn587124989en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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