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Modeling Non-Gaussian Time Series with Nonparametric Bayesian Models
PrePrint
ISSN: 0162-8828
Zhiguang Xu, The Ohio State University, Columbus
Steven MacEachern, The Ohio State University, Columbus
Xinyi Xu, The Ohio State University, Columbus
We present a class of Bayesian copula models whose major components are the marginal (limiting) distribution of a stationary time series and the internal dynamics of the series. We argue that these are the two features with which an analyst is typically most familiar, and hence that these are natural components with which to work. For the marginal distribution, we use a nonparametric Bayesian prior distribution along with a cdf-inverse cdf transformation to obtain large support. For the internal dynamics, we rely on the traditionally successful techniques of normal-theory time series. Coupling the two components gives us a family of (Gaussian) copula transformed autoregressive models. The models provide coherent adjustments of time scales and are compatible with many extensions, including changes in volatility of the series. We describe basic properties of the models, show their ability to recover non-Gaussian marginal distributions, and use a GARCH modification of the basic model to analyze stock index return series. The models are found to provide better fit and improved short-range and long-range predictions than Gaussian competitors. The models are extensible to a large variety of fields, including continuous time models, spatial models, models for multiple series, models driven by external covariate streams, and non-stationary models.
Index Terms:
Bayes methods,Time series analysis,Analytical models,Limiting,Standards,Technological innovation,Joints,Economics,Mathematics and statistics
Citation:
Zhiguang Xu, Steven MacEachern, Xinyi Xu, "Modeling Non-Gaussian Time Series with Nonparametric Bayesian Models," IEEE Transactions on Pattern Analysis and Machine Intelligence, 21 Nov. 2013. IEEE computer Society Digital Library. IEEE Computer Society, <http://doi.ieeecomputersociety.org/10.1109/TPAMI.2013.222>
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