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UCSC-SOE-16-05: A Bayesian Nonparametric Markovian Model for Nonstationary Time Series

Maria DeYoreo and Athanasios Kottas
03/01/2016 09:44 AM
Applied Mathematics & Statistics
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, nonstationary 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 the model is able to recover challenging transition densities and nonlinear 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.

UCSC-SOE-16-05