Zobrazeno 1 - 10
of 20
pro vyhledávání: '"62F15, 62M10"'
Autor:
West, Mike, Vrotsos, Luke
Simultaneous graphical dynamic linear models (SGDLMs) provide advances in flexibility, parsimony and scalability of multivariate time series analysis, with proven utility in forecasting. Core theoretical aspects of such models are developed, includin
Externí odkaz:
http://arxiv.org/abs/2410.06125
Theoretical developments in sequential Bayesian analysis of multivariate dynamic models underlie new methodology for causal prediction. This extends the utility of existing models with computationally efficient methodology, enabling routine explorati
Externí odkaz:
http://arxiv.org/abs/2406.02320
We propose a flexible nonparametric Bayesian modelling framework for multivariate time series of count data based on tensor factorisations. Our models can be viewed as infinite state space Markov chains of known maximal order with non-linear serial d
Externí odkaz:
http://arxiv.org/abs/2311.06076
Autor:
Binks, Rachel L., Heaps, Sarah E., Panagiotopoulou, Mariella, Wang, Yujiang, Wilkinson, Darren J.
Vector autoregressions (VARs) are a widely used tool for modelling multivariate time-series. It is common to assume a VAR is stationary; this can be enforced by imposing the stationarity condition which restricts the parameter space of the autoregres
Externí odkaz:
http://arxiv.org/abs/2307.05708
A new integer--valued autoregressive process (INAR) with Generalised Lagrangian Katz (GLK) innovations is defined. This process family provides a flexible modelling framework for count data, allowing for under and over--dispersion, asymmetry, and exc
Externí odkaz:
http://arxiv.org/abs/2202.02029
Change point analyses are concerned with identifying positions of an ordered stochastic process that undergo abrupt local changes of some underlying distribution. When multiple processes are observed, it is often the case that information regarding t
Externí odkaz:
http://arxiv.org/abs/2201.07830
Publikováno v:
BMC Public Health 2022, Vol. 22, No. 1, 358
The sex ratio at birth (SRB; ratio of male to female births) in Nepal has been reported without imbalance on the national level. However, the national SRB could mask the disparity within the country. Given the demographic and cultural heterogeneities
Externí odkaz:
http://arxiv.org/abs/2007.00437
Publikováno v:
Ann. Appl. Stat. 15 (3) 1499 - 1528, September 2021
The sex ratio at birth (SRB) is defined as the ratio of male to female live births. The SRB imbalance in parts of the world over the past several decades is a direct consequence of sex-selective abortion, driven by the co-existence of son preference,
Externí odkaz:
http://arxiv.org/abs/2006.07101
This paper introduces a new stochastic process with values in the set Z of integers with sign. The increments of process are Poisson differences and the dynamics has an autoregressive structure. We study the properties of the process and exploit the
Externí odkaz:
http://arxiv.org/abs/2002.04470
Autor:
Hosszejni, Darjus, Kastner, Gregor
Publikováno v:
Journal of Statistical Software, 100(12), 1-34 (2021)
Stochastic volatility (SV) models are nonlinear state-space models that enjoy increasing popularity for fitting and predicting heteroskedastic time series. However, due to the large number of latent quantities, their efficient estimation is non-trivi
Externí odkaz:
http://arxiv.org/abs/1906.12123