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Bayesian State-Space Model

Posterior estimation and simulation using custom prior models for standard state-space model coefficient matrices

A Bayesian state-space model treats the linear, Gaussian state-space model parameters θ as random variables, rather than fixed but unknown quantities, with joint prior distribution Π(θ). This treatment leads to a more flexible model and intuitive inferences.

Bayesian state-space model analyses involve drawing samples from the joint posterior distribution Π(θ|Dt), which is composed of the joint prior and data likelihood computed by the standard Kalman filter, where Dt is the response and predictor data set. Econometrics Toolbox™ uses a Metropolis-Hastings sampler to sample from the posterior.

To start a Bayesian state-space model analysis, create a model object that best describes the structure of the state-space (from which the likelihood is inferred) and your prior assumptions on the joint distribution of the parameters by using bssm. Then, using the model and data, you can estimate characteristics of the posterior distributions or draw samples from the posterior distribution.

Objects

bssmCreate Bayesian state-space model
ssmCreate state-space model

Functions

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bssmCreate Bayesian state-space model
ssm2bssmConvert standard state-space model to Bayesian state-space model
estimateEstimate posterior distribution of Bayesian state-space model parameters
simulateSimulate posterior draws of Bayesian state-space model parameters
tuneTune Bayesian state-space model posterior sampler

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