کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096560 | 1376534 | 2011 | 14 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stick-breaking autoregressive processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and Dirichlet process marginals are investigated in some detail. We develop a general conditional Markov Chain Monte Carlo (MCMC) method for inference in the wide subclass of these models where the parameters of the marginal stick-breaking process are nondecreasing sequences. We derive a generalised Pólya urn scheme type representation of the Dirichlet process construction, which allows us to develop a marginal MCMC method for this case. We apply the proposed methods to financial data to develop a semi-parametric stochastic volatility model with a time-varying nonparametric returns distribution. Finally, we present two examples concerning the analysis of regional GDP and its growth.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 162, Issue 2, June 2011, Pages 383-396
Journal: Journal of Econometrics - Volume 162, Issue 2, June 2011, Pages 383-396
نویسندگان
J.E. Griffin, M.F.J. Steel,