MCMC and SMC in Dynamic Models and Stochastic Volatility Models
III Summer School – Technical University of Catalonia
Barcelona, Spain

Course material (PDF FILE)

Textbook

Most of the material from lectures one through six are based on my book entitled MCMC: Stochastic Simulation for Bayesian Inference, co-authored by D. Gamerman and published by Chapman&Hall/CRC in 2006. R code for many of the book’s worked examples can be found at www.dme.ufrj.br/mcmc.


Course outline

Lecture 1: Bayesian inference
Lecture 2: Bayesian model criticism
Lecture 3: Monte Carlo (MC) methods
Lecture 4: Markov chain Monte Carlo (MCMC) methods
Lecture 5: Dynamic linear models (DLM)
Lecture 6: Nonnormal, nonlinear dynamic models
Lecture 7: Stochastic volatility models as dynamic models
Lecture 8: Sequential Monte Carlo (SMC) methods
Lecture 9: SMC with parameter learning
Lecture 10: SMC in stochastic volatility models


R code


Other useful links