On Bayesian Inference for Almost Periodic in Mean Autoregressive Models

• Authors: Łukasz Lenart , Błażej Mazur

Title variants

PL

Wnioskowanie bayesowskie dla zmiennej w czasie prawie okresowej funkcji wartości oczekiwanej w modelu autoregresji

Abstracts

EN

The goal of the paper is to discuss Bayesian estimation of a class of univariate time-series models being able to represent complicated patterns of “cyclical” fluctuations in mean function. We highlight problems that arise in Bayesian estimation of parametric time-series model using the Flexible Fourier Form of Gallant (1981). We demonstrate that the resulting posterior is likely to be highly multimodal, therefore standard Markov Chain Monte Carlo (MCMC in short) methods might fail to explore the whole posterior, especially when the modes are separated. We show that the multimodality is actually an issue using the exact solution (i.e. an analytical marginal posterior) in an approximate model. We address that problem using two essential steps. Firstly, we integrate the posterior with respect to amplitude parameters, which can be carried out analytically. Secondly, we propose a non-parametrically motivated proposal for the frequency parameters. This allows for construction of an improved MCMC sampler that effectively explores the space of all the model parameters, with the amplitudes sampled by the direct approach outside the MCMC chain. We illustrate the problem using simulations and demonstrate our solution using two real-data examples.

Keywords

EN

Bayesian inference; almost periodic mean function; autoregressive model; MCMC sampler

PL

wnioskowanie bayesowskie; funkcja prawie okresowa wartości oczekiwanej; model autoregresji; próbnik MCMC

• Publisher: Główny Urząd Statystyczny
• Journal: Przegląd Statystyczny
• Year: 2016
• Volume: 63
• Issue: 3
• Pages: 255-272

Dates

published

2016

Contributors

author

Łukasz Lenart

• Cracow University of Economics, Faculty of Finance, Department of Mathematics

author

Błażej Mazur

• Cracow University of Economics, Faculty of Management, Department of Econometrics and Operations Research

References

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Identifiers

Biblioteka Nauki

1050550