The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models

Daniel F. Waggoner, Hongwei Wu, and Tao Zha
Working Paper 2014-21
November 2014

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Having efficient and accurate samplers for simulating the posterior distribution is crucial for Bayesian analysis. We develop a generic posterior simulator called the "dynamic striated Metropolis-Hastings (DSMH)" sampler. Grounded in the Metropolis-Hastings algorithm, it draws its strengths from both the equi-energy sampler and the sequential Monte Carlo sampler by avoiding the weaknesses of the straight Metropolis-Hastings algorithm as well as those of importance sampling. In particular, the DSMH sampler possesses the capacity to cope with incredibly irregular distributions that are full of winding ridges and multiple peaks and has the flexibility to take full advantage of parallelism on either desktop computers or clusters. The high-dimensional application studied in this paper provides a natural platform to put to the test generic samplers such as the DSMH sampler.

JEL classification: C32, C63, E17

Key words: dynamic striation adjustments, simultaneous equations, Phillips curve, winding ridges, multiple peaks, independent striated draws, irregular posterior distribution, importance weights, tempered posterior density, effective sample size


This research is supported in part by the National Science Foundation Grant SES 1127665. Simulations are programmed in C++, tailored to parallel and grid computations. The views expressed herein are the authors' and not necessarily those of the Federal Reserve Bank of Atlanta, the Federal Reserve System, or the National Bureau of Economic Research.
Please address questions regarding content to Daniel F. Waggoner, Federal Reserve Bank of Atlanta and Emory University, Research Department, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, 404-498-8278, dwaggoner@frbatlanta.org; Hongwei Wu, Federal Reserve Bank of Atlanta and Emory University, Research Department, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, 404-498-8413, hongwei.wu@atl.frb.org; or Tao Zha, Federal Reserve Bank of Atlanta and Emory University, Research Department, 1000 Peachtree Street NE, Atlanta, GA 30309-4470, 404-498-8353, zmail@tzha.net.