Bayesian Nonparametric Density Autoregression with Lag Selection
We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related to Bayesian density regression using Dirichlet process mixtures, with the Markovian likelihood defined through the condition...
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ftdatacite:10.48550/arxiv.2003.09759 2023-05-15T17:59:39+02:00 Bayesian Nonparametric Density Autoregression with Lag Selection Heiner, Matthew Kottas, Athanasios 2020 https://dx.doi.org/10.48550/arxiv.2003.09759 https://arxiv.org/abs/2003.09759 unknown arXiv arXiv.org perpetual, non-exclusive license http://arxiv.org/licenses/nonexclusive-distrib/1.0/ Methodology stat.ME FOS Computer and information sciences Article CreativeWork article Preprint 2020 ftdatacite https://doi.org/10.48550/arxiv.2003.09759 2022-03-10T16:03:47Z We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related to Bayesian density regression using Dirichlet process mixtures, with the Markovian likelihood defined through the conditional distribution obtained from the mixture. This results in a Bayesian nonparametric extension of a mixtures-of-experts model formulation. We address computational challenges to posterior sampling that arise from the Markovian structure in the likelihood. The base model is illustrated with synthetic data from a classical model for population dynamics, as well as a series of waiting times between eruptions of Old Faithful Geyser. We study inferences available through the base model before extending the methodology to include automatic relevance detection among a pre-specified set of lags. Inference for global and local lag selection is explored with additional simulation studies, and the methods are illustrated through analysis of an annual time series of pink salmon abundance in a stream in Alaska. We further explore and compare transition density estimation performance for alternative configurations of the proposed model. Article in Journal/Newspaper Pink salmon Alaska DataCite Metadata Store (German National Library of Science and Technology) |
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Methodology stat.ME FOS Computer and information sciences |
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Methodology stat.ME FOS Computer and information sciences Heiner, Matthew Kottas, Athanasios Bayesian Nonparametric Density Autoregression with Lag Selection |
topic_facet |
Methodology stat.ME FOS Computer and information sciences |
description |
We develop a Bayesian nonparametric autoregressive model applied to flexibly estimate general transition densities exhibiting nonlinear lag dependence. Our approach is related to Bayesian density regression using Dirichlet process mixtures, with the Markovian likelihood defined through the conditional distribution obtained from the mixture. This results in a Bayesian nonparametric extension of a mixtures-of-experts model formulation. We address computational challenges to posterior sampling that arise from the Markovian structure in the likelihood. The base model is illustrated with synthetic data from a classical model for population dynamics, as well as a series of waiting times between eruptions of Old Faithful Geyser. We study inferences available through the base model before extending the methodology to include automatic relevance detection among a pre-specified set of lags. Inference for global and local lag selection is explored with additional simulation studies, and the methods are illustrated through analysis of an annual time series of pink salmon abundance in a stream in Alaska. We further explore and compare transition density estimation performance for alternative configurations of the proposed model. |
format |
Article in Journal/Newspaper |
author |
Heiner, Matthew Kottas, Athanasios |
author_facet |
Heiner, Matthew Kottas, Athanasios |
author_sort |
Heiner, Matthew |
title |
Bayesian Nonparametric Density Autoregression with Lag Selection |
title_short |
Bayesian Nonparametric Density Autoregression with Lag Selection |
title_full |
Bayesian Nonparametric Density Autoregression with Lag Selection |
title_fullStr |
Bayesian Nonparametric Density Autoregression with Lag Selection |
title_full_unstemmed |
Bayesian Nonparametric Density Autoregression with Lag Selection |
title_sort |
bayesian nonparametric density autoregression with lag selection |
publisher |
arXiv |
publishDate |
2020 |
url |
https://dx.doi.org/10.48550/arxiv.2003.09759 https://arxiv.org/abs/2003.09759 |
genre |
Pink salmon Alaska |
genre_facet |
Pink salmon Alaska |
op_rights |
arXiv.org perpetual, non-exclusive license http://arxiv.org/licenses/nonexclusive-distrib/1.0/ |
op_doi |
https://doi.org/10.48550/arxiv.2003.09759 |
_version_ |
1766168505054396416 |