LibBi

OrnsteinUhlenbeckBridge package

Version 1.0.0 by Lawrence Murray

Ornstein--Uhlenbeck model for diffusion bridge sampling.

Synopsis

./init.sh

This simulates a number of data sets for testing. GNU Octave is required. Running it is optional, as a number of simulated data sets are already included.

./run.sh

This runs a particle filter as well as samples from the posterior distribution for a data set of a single observation at time 1.

./test.sh

This runs tests on the bootstrap and bridge particle filters on the simulated data sets. Alternatively, these tests may be run as an array job on a cluster:

qsub -t 0-15 qsub_test_bridge.sh
qsub -t 0-15 qsub_test_bootstrap.sh

Finally, results may be plot with:

octave --path oct/ --eval "plot_and_print"

GNU Octave and OctBi are required.

Note that, as of version 1.1.0 of LibBi, running any of these gives the warnings:

Warning (line 29): 'obs' variables should not appear on the right side of actions in the 'transition' block.
Warning (line 42): 'obs' variables should not appear on the right side of actions in the 'lookahead_transition' block.

This is normal.

Description

This package includes an Ornstein–Uhlenbeck model that is observed directly. The task is to simulate diffusion bridges between the observed values. The form of the model is as studied in Aït-Sahalia (1999):

with fixed parameters $\theta_1 = 0.0187$, $\theta_2 = 0.2610$ and $\theta_3 = 0.0224$.

It was used as a test case in Del Moral & Murray (2014). The package may be used to reproduce the results in that paper.

References

Aït-Sahalia, Y. Transition Densities for Interest Rate and Other Nonlinear Diffusions. The Journal of Finance, 1999, 54, 1361–1395.

Del Moral, P. & Murray, L. M. Sequential Monte Carlo with Highly Informative Observations, 2014. [arXiv]