Stochastic volatility processes are used in multivariate time-series analysis to track time-varying patterns in covariance matrices. Uhlig extended and beta-Bartlett processes are especially convenient for analyzing high-dimensional time-series because they are conjugate with Wishart likelihoods. In this article, we show that Uhlig extended and beta-Bartlett are closely related, but not equivalent: their hyperparameters can be matched so that they have the same forward-filtered posteriors and one-step ahead forecasts, but different joint (smoothed) posterior distributions. Under this circumstance, Bayes factors can't discriminate the models and alternative approaches to model comparison are needed. We illustrate these issues in a retrospective analysis of volatilities of returns of foreign exchange rates. Additionally, we provide a backward sampling algorithm for the beta-Bartlett process, for which retrospective analysis had not been developed.
翻译:在多变时间序列分析中,使用托盘挥发过程来跟踪共变矩阵的时间变化模式。 Uhlig 扩展过程和 beta-Bartlett 过程对于分析高维时间序列特别方便,因为它们与Wishart 的可能性是相近的。在本篇文章中,我们显示Ulig 扩展过程和 beta-Bartlett是密切相关的,但并不相等:它们的超常参数可以匹配,以便它们拥有相同的前过滤后继镜和前一步预报,但不同的联合(moothered)后端分布。在这种情况下,贝斯因素不能区别模型和模型比较的替代方法。我们在对外汇汇率回报的挥发性进行回顾性分析时说明了这些问题。此外,我们为Be-Bartlet 进程提供了后向的抽样算法,对此没有进行回溯分析。