A Bayesian nonparametric Markovian model for non-stationary time series

A Bayesian nonparametric Markovian model for non-stationary time series Stationary time series models built from parametric distributions are, in general, limited in scope due to the assumptions imposed on the residual distribution and autoregression relationship. We present a modeling approach for univariate time series data, which makes no assumptions of stationarity, and can accommodate complex dynamics and capture non-standard distributions. The model for the transition density arises from the conditional distribution implied by a Bayesian nonparametric mixture of bivariate normals. This results in a flexible autoregressive form for the conditional transition density, defining a time-homogeneous, non-stationary Markovian model for real-valued data indexed in discrete time. To obtain a computationally tractable algorithm for posterior inference, we utilize a square-root-free Cholesky decomposition of the mixture kernel covariance matrix. Results from simulated data suggest that the model is able to recover challenging transition densities and non-linear dynamic relationships. We also illustrate the model on time intervals between eruptions of the Old Faithful geyser. Extensions to accommodate higher order structure and to develop a state-space model are also discussed. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Statistics and Computing Springer Journals

A Bayesian nonparametric Markovian model for non-stationary time series

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Publisher
Springer Journals
Copyright
Copyright © 2016 by Springer Science+Business Media New York
Subject
Statistics; Statistics and Computing/Statistics Programs; Artificial Intelligence (incl. Robotics); Statistical Theory and Methods; Probability and Statistics in Computer Science
ISSN
0960-3174
eISSN
1573-1375
D.O.I.
10.1007/s11222-016-9702-x
Publisher site
See Article on Publisher Site

Abstract

Stationary time series models built from parametric distributions are, in general, limited in scope due to the assumptions imposed on the residual distribution and autoregression relationship. We present a modeling approach for univariate time series data, which makes no assumptions of stationarity, and can accommodate complex dynamics and capture non-standard distributions. The model for the transition density arises from the conditional distribution implied by a Bayesian nonparametric mixture of bivariate normals. This results in a flexible autoregressive form for the conditional transition density, defining a time-homogeneous, non-stationary Markovian model for real-valued data indexed in discrete time. To obtain a computationally tractable algorithm for posterior inference, we utilize a square-root-free Cholesky decomposition of the mixture kernel covariance matrix. Results from simulated data suggest that the model is able to recover challenging transition densities and non-linear dynamic relationships. We also illustrate the model on time intervals between eruptions of the Old Faithful geyser. Extensions to accommodate higher order structure and to develop a state-space model are also discussed.

Journal

Statistics and ComputingSpringer Journals

Published: Oct 7, 2016

References

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