BibTeX

@article{2210.07154v1,
Author        = {Ramis Khabibullin and Sergei Seleznev},
Title         = {Fast Estimation of Bayesian State Space Models Using Amortized
  Simulation-Based Inference},
Eprint        = {2210.07154v1},
ArchivePrefix = {arXiv},
PrimaryClass  = {econ.EM},
Abstract      = {This paper presents a fast algorithm for estimating hidden states of Bayesian
state space models. The algorithm is a variation of amortized simulation-based
inference algorithms, where a large number of artificial datasets are generated
at the first stage, and then a flexible model is trained to predict the
variables of interest. In contrast to those proposed earlier, the procedure
described in this paper makes it possible to train estimators for hidden states
by concentrating only on certain characteristics of the marginal posterior
distributions and introducing inductive bias. Illustrations using the examples
of the stochastic volatility model, nonlinear dynamic stochastic general
equilibrium model, and seasonal adjustment procedure with breaks in seasonality
show that the algorithm has sufficient accuracy for practical use. Moreover,
after pretraining, which takes several hours, finding the posterior
distribution for any dataset takes from hundredths to tenths of a second.},
Year          = {2022},
Month         = {Oct},
Url           = {http://arxiv.org/abs/2210.07154v1},
File          = {2210.07154v1.pdf}
}