Abstract: This paper presents a fast algorithm for estimating hidden states of Bayesian state space models. The algorithm is a variation of amortized simulation-based inference algorithms, where numerous artificial datasets are generated at the first stage, and then a flexible model is trained to predict the variables of interest. In contrast to those proposed earlier, the procedure described in this paper makes it possible to train estimators for hidden states by concentrating only on certain characteristics of the marginal posterior distributions and introducing inductive bias.
Illustrations using the examples of stochastic volatility model, nonlinear dynamic stochastic general equilibrium model and seasonal adjustment procedure with breaks in seasonality show that the algorithm has sufficient accuracy for practical use. Moreover, after pretraining, which takes several hours, finding the posterior distribution for any dataset takes from hundredths to tenths of a second.
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