Semiparametric Bayesian Inference for Time Series with Mixed Spectra PDF Download
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Author: Christopher K. Carter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of our approach is that different features of the data such as the regression parameters, the spectral density, unknown frequencies, and missing observations are combined in a hierarchical Bayesian framework and estimated simultaneously. A Bayesian test to detect the presence of deterministic components in the data is also constructed. By using an asymptotic approximation to the likelihood, the computation is carried out efficiently using Markov chain Monte Carlo in O(Mn) operations, where n is the sample size and M and is the number of iterations. We show empirically that our approach works well on real and simulated examples.
Author: Christopher K. Carter
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
A Bayesian analysis is presented of a time series which is the sum of a stationary component with a smooth spectral density and a deterministic component consisting of a linear combination of a trend and periodic terms. The periodic terms may have known or unknown frequencies. The advantage of our approach is that different features of the data such as the regression parameters, the spectral density, unknown frequencies, and missing observations are combined in a hierarchical Bayesian framework and estimated simultaneously. A Bayesian test to detect the presence of deterministic components in the data is also constructed. By using an asymptotic approximation to the likelihood, the computation is carried out efficiently using Markov chain Monte Carlo in O(Mn) operations, where n is the sample size and M and is the number of iterations. We show empirically that our approach works well on real and simulated examples.
Author: C. K. Carter
Publisher:
ISBN: 9781862742406
Category : Time-series analysis
Languages : en
Pages : 30
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Book Description
Author: Ta-Hsin Li
Publisher: CRC Press
ISBN: 1420010069
Category : Mathematics
Languages : en
Pages : 648
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Book Description
Time series with mixed spectra are characterized by hidden periodic components buried in random noise. Despite strong interest in the statistical and signal processing communities, no book offers a comprehensive and up-to-date treatment of the subject. Filling this void, Time Series with Mixed Spectra focuses on the methods and theory for the stati
Author: Subhashis Ghosal
Publisher: Cambridge University Press
ISBN: 0521878268
Category : Business & Economics
Languages : en
Pages : 671
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Book Description
Bayesian nonparametrics comes of age with this landmark text synthesizing theory, methodology and computation.
Author:
Publisher: Elsevier
ISBN: 0080461174
Category : Mathematics
Languages : en
Pages : 1062
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Book Description
This volume describes how to develop Bayesian thinking, modelling and computation both from philosophical, methodological and application point of view. It further describes parametric and nonparametric Bayesian methods for modelling and how to use modern computational methods to summarize inferences using simulation. The book covers wide range of topics including objective and subjective Bayesian inferences with a variety of applications in modelling categorical, survival, spatial, spatiotemporal, Epidemiological, software reliability, small area and micro array data. The book concludes with a chapter on how to teach Bayesian thoughts to nonstatisticians. Critical thinking on causal effects Objective Bayesian philosophy Nonparametric Bayesian methodology Simulation based computing techniques Bioinformatics and Biostatistics
Author: Raquel Prado
Publisher: CRC Press
ISBN: 1420093363
Category : Mathematics
Languages : en
Pages : 375
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Book Description
Focusing on Bayesian approaches and computations using simulation-based methods for inference, Time Series: Modeling, Computation, and Inference integrates mainstream approaches for time series modeling with significant recent developments in methodology and applications of time series analysis. It encompasses a graduate-level account of Bayesian time series modeling and analysis, a broad range of references to state-of-the-art approaches to univariate and multivariate time series analysis, and emerging topics at research frontiers. The book presents overviews of several classes of models and related methodology for inference, statistical computation for model fitting and assessment, and forecasting. The authors also explore the connections between time- and frequency-domain approaches and develop various models and analyses using Bayesian tools, such as Markov chain Monte Carlo (MCMC) and sequential Monte Carlo (SMC) methods. They illustrate the models and methods with examples and case studies from a variety of fields, including signal processing, biomedicine, and finance. Data sets, R and MATLAB® code, and other material are available on the authors’ websites. Along with core models and methods, this text offers sophisticated tools for analyzing challenging time series problems. It also demonstrates the growth of time series analysis into new application areas.
Author: Paul Damien
Publisher: Oxford University Press
ISBN: 0199695601
Category : Mathematics
Languages : en
Pages : 717
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Book Description
This volume guides the reader along a statistical journey that begins with the basic structure of Bayesian theory, and then provides details on most of the past and present advances in this field.
Author: Herman van Dijk
Publisher: Oxford University Press
ISBN: 0199559082
Category : Business & Economics
Languages : en
Pages : 571
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Book Description
A broad coverage of the application of Bayesian econometrics in the major fields of economics and related disciplines, including macroeconomics, microeconomics, finance, and marketing.
Author: Andrew C. Harvey
Publisher: Oxford University Press, USA
ISBN: 0199278695
Category : Business & Economics
Languages : en
Pages : 475
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Book Description
This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major contributions to this field and provides substantial introductions throughout the book to form a unified view of the literature. About the Series Advanced Texts in Econometrics is a distinguished and rapidly expanding series in which leading econometricians assess recent developments in such areas as stochastic probability, panel and time series data analysis, modeling, and cointegration. In both hardback and affordable paperback, each volume explains the nature and applicability of a topic in greater depth than possible in introductory textbooks or single journal articles. Each definitive work is formatted to be as accessible and convenient for those who are not familiar with the detailed primary literature.
Author: Siddhartha Chib
Publisher: Emerald Group Publishing
ISBN: 1848553099
Category : Business & Economics
Languages : en
Pages : 672
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Book Description
Illustrates the scope and diversity of modern applications, reviews advances, and highlights many desirable aspects of inference and computations. This work presents an historical overview that describes key contributions to development and makes predictions for future directions.
