Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Efficient data augmentation techniques for state space models   In the first part of the article, we propose a data augmentation scheme for
improving the rate of convergence of the EM algorithm in estimating Gaussian
state space models. The scheme considers a linear transformation of the latent
states in which two working parameters are introduced for rescaling and
recentering. We derive optimal values of the working parameters by minimizing
the fraction of missing information, and study their large sample properties
and dependence on the persistence and signal-to-noise ratio. An alternating
expectation-conditional maximization (AECM) algorithm is designed to take
advantage of the proposed scheme, and shown to be a more attractive alternative
to the centered parametrization (CP) or noncentered parametrization (NCP). In
the second part, we extend earlier results to Bayesian Markov chain Monte Carlo
(MCMC) algorithms for non-Gaussian state space models, focusing on the
stochastic volatility and stochastic conditional duration models. A
block-specific reparametrization (BSR) strategy for multi-block MCMC samplers
is proposed which enables the EM data augmentation scheme to be applied to
non-Gaussian models via a mixture of normals approximation. Applications on
simulated data and benchmark real data sets indicate that the BSR strategy is
able to yield improvements in simulation efficiency compared with the CP or
NCP, and sometimes even over ASIS (which interweaves the CP and NCP).

3
The categories of this paper are: physics
5
The categories of this paper are: gr-qc
9
The categories of this paper are: nlin
35
The categories of this paper are: mtrl-th
25
The categories of this paper are: patt-sol
36
The categories of this paper are: cmp-lg
30
The categories of this paper are: q-alg
17
The categories of this paper are: q-fin
11
The categories of this paper are: hep-lat
37
The categories of this paper are: supr-con
18
The categories of this paper are: econ
15
The categories of this paper are: nucl-ex
31
The categories of this paper are: ao-sci
4
The categories of this paper are: cond-mat
14
The categories of this paper are: math-ph
32
The categories of this paper are: atom-ph