A Computationally More Efficient Bayesian Approach for Estimating Continuous-Time Models
Martin Hecht, Steffen Zitzmann
Abstract
Continuous-time modeling is gaining in popularity as more and more intensive longitudinal data need to be analyzed. Current Bayesian software implementations of continuous-time models suffer from rather high, inadequate run times. Therefore, we apply a model reformulation approach to reduce run time. In a simulation study, we investigate the estimation quality and run time gain. We then illustrate our optimized Bayesian continuous-time model estimation and compare it to established continuous-time modeling software using an empirical example. Parameter estimates and inference statistics were very comparable, while run times were very different. Our approach reduces the run times for Bayesian estimations of continuous-time models from hours to minutes.