Bayesian Time Series

BAYESIAN TIME SERIES
A (hugely selective) introductory overview - contacting current research frontiers -
Mike West Institute of Statistics & Decision Sciences Duke University

June 5th 2002, Valencia VII - Tenerife
Mike West - ISDS, Duke University
Valencia VII, 2002
Topics
Dynamic linear models (state space models) Sequential context, Bayesian framework Standard classes of models, model decompositions Models and methods in physical science applications Time series decompositions, latent structure Neurophysiology - climatology - speech processing Multivariate time series: Financial applications Latent structure, volatility models
Simulation-Based Computation MCMC Sequential simulation methodology
Valencia VII, 2002
Standard Dynamic Models
Dynamic Linear Models yt = x t + t xt = F t t
Linear State Space Models

t
= Gt t1 + t
signal xt , state vector t = (t1 , . . . , td ) regression vector Ft and state matrix Gt zero mean measurement errors t and state innovations t often zero-mean and normally distributed
Valencia VII, 2002
Examples
Slowly varying level observed with noise: yt = x t + t Dynamic linear regression: yt = x t + t xt = F t t
t
xt = xt1 + t
= t1 + t
Error models for t , t normal distributions mixtures of normals: outliers and abrupt structural changes
Valencia VII, 2002
Simple regression example
yt = x t + t
x t = a t + b t Xt
Ft = (1, Xt ) and t = (at , bt ) wanders through time

2.2 2 1.8 1.6 1.4 1.2 1 0.8 0 1 Region 1 2 3 Region 2 4 5 6 Xt
Valencia VII, 2002
Sales Data Example
190 180 170 160 150 140 130 120 110 100 80 75 70 65 60 55 50 45 1/75 1/77 1/79
MARKET
SALES
1/81
1/83
1/85
Valencia VII, 2002
Sales Data Example
80 Sales 70 60 50 40 30 20 10 0 0 25 50 75 100 125 150 175 200 Market
Valencia VII, 2002
Sales Data Example
RATIO 0.47 0.46 0.45 0.44 0.43 0.42
QTR YEAR
1 75
1 77
1 79
1 81
1 83
1 85
Valencia VII, 2002
Simple Regression Example
Relative to static model, dynamic regression delivers: improved estimation via adaptation for local regression parameters and increased (honest) uncertainty about regression parameters adaptability to (small) changes improved point forecasts partitions variation: parameter vs observation error increased precision of stated forecasts i.e., improved prediction: point forecasts AND precision
Valencia VII, 2002
General Dynamic Linear Model
yt = x t + t yt1 xt1

xt = F t t yt xt

= Gt t1 + t
yt+1 xt+1

t1 t t+1 Sequential model denition : Markov evolution structure CI structure : t sucient for future at time t
Valencia VII, 2002
Bayesian Forecasting
Key concepts: Bayesian: modelling & learning is probabilistic Time-varying parameter models: often non-stationary Sequential view, sequential model denitions encourages interaction, intervention Statistical framework: Forecasting: What might happen? and What if?
Data processing and statistical learning from observations Updating of models and probabilistic summaries of belief Time series analysis ... Retrospection: What happened?
Valencia VII, 2002
Bayesian Machinery
Inferences based on information Dt = {(y1 , . . . , yt ), It } Find and summarise p(t |Dt ) and p(1 , . . . , t |Dt ) and update as t t + 1 Forecasts: p(yt+1 , . . . , yt+k |Dt ) and update as t t + 1 Implementation & computations: Linear/normal models: neat theory, Kalman ltering Extend to infer variance components, non-normal errors .. need approximations, simulation methods, MCMC
Valencia VII, 2002
Commercial Applications
Short term forecasting of consumer sales and demand Monitoring: stocks and inventories of consumer products Many items or sectors: Aggregation and multi-level models Standard models for commercial applications: Data = Trend + Seasonal + Regression + Error yt = x1t + x2t + x3t + t
Valencia VII, 2002
Models in Commercial Applications

Component signals xjt follow individual dynamic models Trends: e.g., locally linear trend x1t = x1,t1 + t + x1t , Seasonals: x2t =
j
t = t1 + t
(aj,t cos(2 j/p) + bj,t sin(2 j/p))
where (aj,t , bj,t ) wander through time Key concept: Model (De)Composition Modelling, prior specication, interventions: component-wise Posterior inference: detrending, deseasonalisation, etc
Valencia VII, 2002
Special Classes of DLMs

Time Series DLMs constant F, G yt = x t + t xt = F t
t
= Gt1 + t
Includes all standard point-forecasting methods (exponential smoothing, variants, ... ) Polynomial trend and seasonal components in commercial models Includes all practically useful ARIMA models Multiple representations:
t
= Et G EGE1
General class: Time-varying Ft , Gt Includes non-stationary models, time-varying ARIMA models, etc., ...
Valencia VII, 2002
Simulation-Based Computation
yt = x t + t
xt = F t t
= Gt t1 + t
Normal error models p(t ), p(t ) Fixed time window t = 1, . . . , n State vector set: = {1 , . . . , n } Require: full posterior sample from p(|Dn ) Available via Forward-ltering: Backward-sampling algorithm
Carter and Kohn (1994) Biometrika Fr hwirth-Schnatter (1994) J Time Series Anal u West and Harrison 1997
Valencia VII, 2002
FFBS Algorithm
Forward-ltering: Standard normal/linear analysis: Kalman lter delivers normal p(t |Dt ) at each t = 1, . . . , n Backward-sampling: at t = n : sample from p(n |Dn ) n for t = n 1, n 2, . . . , 1 : sample from normal distribution t p(t |Dt , ) t+1 Builds up as , , . . . n n1 Exploits Markovian/CI model structure
Valencia VII, 2002
MCMC in DLMs
DLM parameters: e.g., constant model yt = x t + t xt = F t Parameters: Variances (variance matrices) of t , t Elements of F, G Indicators in normal mixture models for errors Add parameters to analysis: MCMC utilising FFBS
= Gt1 + t
Valencia VII, 2002
MCMC in DLMs
Parameters (may depend on sample size) Gibbs sampling: p(, |Dn ) iteratively resampled via Apply FFBS algorithm to draw from p(| , Dn ) Draw new value of from p(| , Dn ) Iterate Standard Gibbs sampling: MCMC May need creativity in sampling : Metropolis-Hastings, etc Often easy: as in Autoregressive DLM
Valencia VII, 2002
MCMC: Autoregressive Model Example

Data: State AR(d) DLM for for xt : 1 1 G= 0 . . . 0
y t = x t + t xt =
d j=1
j xtj +
xt = (1, 0, . . . , 0)xt , 2 0 1 0 d1 0 0 .. . 0 1 3 0 0
xt = Gxt1 + t d 0 0 , . . . 0
t
t
0 0 . . . 0
Parameters: {1 , . . . , d ; V (t ), V ( t )} Conditional posteriors standard: linear regression parameters
Valencia VII, 2002
Models in Scientic Applications

Historical interest in biomedical monitoring (change-points), engineering applications (control, tracking), environmental monitoring, ... Goals: Exploratory discovery of interpretable latent processes Nonstationary time series: hidden quasi-periodicities Changes over time at dierent time scales Time:frequency structure (in time domain) State-space models: Stationary and/or nonstationary, time-varying parameters General decomposition theory for state space-space models DLM autoregressions and time-varying autoregressions
Valencia VII, 2002
Autoregressive DLM
Latent AR(d) process: Time series: DLM for for xt : 1 1 G= 0 . . . 0
xt =
d j=1
j xtj +
yt = x0t + xt + t xt = (1, 0, . . . , 0)xt , 2 0 1 0 d1 0 0 ... 0 1 3 0 0
with trend, etc in x0t xt = Gxt1 + t d 0 0 , . . . 0

t
t
0 0 . . . 0
xt latent, unobserved G = G() with = (1 , . . . , d ) to be estimated
Valencia VII, 2002
Time Series Decomposition

Eigenstructure: G = E1 AE Reparametrise to diagonal model: xt Ext Transforms to
dz da
xt =
j=1
zt,j +
j=1
at,j
z terms: one for each pair of complex conjugate eigenvalues a terms: one for each real eigenvalue underlying latent processes zt,j and at,j follow simple models at,j is AR(1) process - short-term correlations zt,j is quasi-periodic ARMA(2,1) - noisy sine wave with randomly time-varying amplitude & phase, xed frequency
Valencia VII, 2002
Time-varying Autoregression
TV-AR(d) model: xt =
d j=1
t,j xtj +
AR parameter: t = (t,1 , . . . , t,d ) wanders through time:

t
= t1 + t
stochastic shocks t Innovations:

t 2 2 N (0, t ) time-varying variance t
Flexible representations: non-stationary process, time-varying spectral properties latent component structure other evolutions for t (e.g., Godsill et al on speech processing)
Valencia VII, 2002
DLM Form of TV-AR(d):

xt = (1, 0, . . . , 0) xt xt = G(t )xt1 + ( t , 0, . . . , 0)
t
= t1 + t t,2 0 1 0 t,d1 0 0 .. . 0 1 t,d 0 0 . . . 0
with
t,1 1 G(t ) = 0 . . . 0
Analysis: Posterior distributions for {t , t :
t} t}
Component models: yt = x0t + x1t + t infer latent TV-AR processes too: {x0t , xt :
Valencia VII, 2002
TVAR Decomposition
dz da
xt =
j=1
zt,j +
j=1
at,j
z terms: one for each pair of complex conjugate eigenvalues a terms: one for each real eigenvalue underlying latent processes: at,j is TV-AR(1) process - short-term correlations + time-varying correlation zt,j is TV-ARMA(2,1) - noisy sine wave with randomly time-varying amplitude & phase + time-varying frequency (2/wavelength) Number of complex/real eigenvalues can vary over time too!
Valencia VII, 2002
Time:Frequency Analysis
Fit exible (high order?) AR or TV-AR models Estimate latent components and their frequencies, amplitudes over time Time domain representation of spectral structure Often, some zt,j physically meaningful, some (high frequency) represent noise, model approximation at,j noise, model approximation and and (possibly) low frequency trend
Valencia VII, 2002
Paleoclimatology Example
deep ocean cores: relative abundance of 18 O 18 O as global temperatures (smaller ice mass) reverse sign: higher recent global temperatures well known periodicities: earth orbital dynamics impact on solar insolation Milankovitch; Shackleton et al since 1976 eccentricity: obliquity: precession: 95-120 kyear 40-42 kyear 19-25 kyear (1 or 2?)
Valencia VII, 2002
Oxygen Isotope Data

Form of time variation in individual cycles ? Timing/nature of onset of ice-age cycle eccentricity component 1000 kyears ago ? Time scale: errors, interpolation, ... measurement, sampling error, etc Models: High order TV-AR, p = 20, plus smooth trend (outliers?) Variance components estimated: changing AR parameters Decomposition: Posterior mean of xt , t,j at each t 4 dominant quasi-periodic components: order by estimated amplitude (innovation variance) Others: residual structure &/or contaminations
Valencia VII, 2002
oxygen isotope series

5.0 4.5 4.0 3.5 3.0 0 500 1000 1500 2000 2500
oxygen level
reversed time in k years
trajectories of time-varying periods of components

150 period 100 50 0 0 500 1000 1500 2000 2500
Valencia VII, 2002
trend
comp 1
comp 2
comp 3
comp 4
500
1000
1500
2000
2500
Valencia VII, 2002
Oxygen
Wavelengths vary only modestly Estimated periods/wavelengths consistent with geological determinations .... 108120, peak 110 .... 40.841.6, peak 41.5 .... 22.223, peak 22.8 Switch due to order of estimated amplitude Geological interpretation? Structural climate change 1.1m yrs?
Valencia VII, 2002
Example: EEG Study

Clinical uses of electroconvulsive therapy Measure seizure treatment outcomes via long, multiple EEG (electroencephalogram) series electrical potential uctuations on scalp Many multiple series: one seizure 19 channels, 256/sec Models to: Characterise seizure waveforms ... time varying amplitudes at ranges of frequencies (alpha waves, etc) Superimposed on normal waveform, noise, ... Identify/extract latent components: infer seizure eects Spatial connectivities: related multiple series
Valencia VII, 2002
Why TVAR Models?

200 100 100
0 50 100 time 150 200
-100
-200
-300
-300
0
-200
-100
200
50
100 time
150
200
-300 -200 -100

0
100
200
500
1000 time
1500
2000
Valencia VII, 2002
EEG Decomposition Examples

beta
beta
alpha
alpha:theta
theta
delta
data
100
200 time
300
400
500
Central section of Ictal19-Cz
Valencia VII, 2002
beta
alpha
theta2
theta1
delta2
delta1
data
500
1000
1500 time
2000
2500
3000
S26.Low Patient/Treatment
Valencia VII, 2002
EEG Treatment Comparison
Two EEG series on one individual: S26.Low cf S26.Mod Repeat seizures with varying ECT treatment
2 TVAR(20) with time-varying t
Evident high frequency structure and spiky traces higher order models Several frequency bands inuenced by seizure several components Identication issues
Valencia VII, 2002
EEG Comparisons
10 S26.Low S26.Mod
- theta range delta range
0 0 1000 2000 time 3000 4000
S26.Low vs. S26.Med: Low frequency trajectories
Valencia VII, 2002
Sequential Simulation Analysis

Time t : States t = {tk , . . . , t } of interest Summarised via set of posterior samples: p(t |Dt ) Time t + 1 : Observe yt p(yt |t ) Require updated summary, posterior samples: p(t+1 |Dt ) Issues: Expanding/Changing state space and dimension Simulation-based summaries: discrete approximations Inference on parameters as well as state vectors New data may conict with prior/predictions
Valencia VII, 2002
Particle Filtering
Key Goal: sequentially update posteriors p(t |Dt ) p(t+1 |Dt+1 ) Numerical Approximations (points/weights): {t , t : j = 1, . . . , Nt } Theoretical update: p(t+1 |Dt+1 ) p(yt+1 |t+1 )p(t+1 |Dt ) MC approximation to prior:
Nt (j) (j)
p(t+1 |Dt )
k=1
t p(t+1 |t )
(k)
(k)
Mixture prior: sample and accept/reject ideas natural
Valencia VII, 2002
Example: Auxilliary Particle Filter

APF state update from t t + 1: for each k, estimates t+1 = E(t+1 |t ) and weights gt+1 t p(yt+1 |t+1 ) sample (aux) indicators j with probs gt+1 time t + 1 samples: t+1 p(t+1 |t ) and weights: t+1 =
(j) (j) (j) (j) (k) (k) (k) (k) (k)
p(yt+1 |t+1 ) p(yt+1 |t+1 )

(j)
(j)
Valencia VII, 2002
Multivariate Models in Finance

(Quintana et al invited talk, Valencia VII) Futures markets, exchange rates, portfolio selection Multiple time series: time-varying covariance patterns Econometric/dynamic regressions/hierarchical models Latent factors in hierarchical, dynamic models Common time-varying structure in multiple series Bayesian multivariate stochastic volatility
yt = (y1t , . . . , ypt ) e.g., yit is pvector of returns on investment i (exchange rate futures, etc.)
Valencia VII, 2002
Dynamic Factor Models

Exchange rate modelling for dynamic asset allocation Monthly (daily) currency exchange rates Dynamic regression/econometric predictors Residual structure and residual stochastic volatility Time-varying variances and covariances Dynamic factor models Dynamic asset allocation & risk management: portfolio studies Bayesian analysis: model tting, sequential analysis, forecasting, decision analysis
Valencia VII, 2002
Excess Returns on Exchange Rates (monthly)

DEM
10 10
JPY
Returns % 0
-10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-10 7602
Returns % 0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
GBP
10 10
AUD
Returns % 0
-10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-10 7602
Returns % 0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
CAD
10 10
CHF
Returns % 0
-10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-10 7602
Returns % 0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
FRF
10 10
NLG
Returns % 0
-10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-10 7602
Returns % 0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
Valencia VII, 2002
Short Interest Rates (monthly)

Short Interest Rate
DEM
0.10 0.10
JPY
IS 0.0
-0.10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-0.10
7602
IS 0.0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
GBP
0.10 0.10
AUD
IS 0.0
-0.10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-0.10
7602
IS 0.0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
CAD
0.10 0.10
CHF
IS 0.0
-0.10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-0.10
7602
IS 0.0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
FRF
0.10 0.10
NLG
IS 0.0
-0.10
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
-0.10
7602
IS 0.0
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
Valencia VII, 2002
Stochastic Volatility Factor Models

yt = dynamic regressiont + residualt residualt N (0, t )
residualt = Xt ft + et ft et ft ... kvector of latent factors N (ft |0, Ft ) N (et |0, Et ) et ... qvector of idiosyncracies
Ft = diag(exp(1,t ), . . . , exp(k,t )) Et = diag(exp(k+1,t ), . . . , exp(k+q,t )) t = Xt Ft Xt + Et Factor and idiosyncratic latent log volatilities: t = (1,t , . . . , k+q,t )
Valencia VII, 2002
Dynamic Factor Model: Factor Loadings Structure
Constant factor loadings matrix Xt = X or slowly varying over time Identication constraints on X :
xk,1 x k+1,1 . . .
1 x2,1 . . .
0 1 . . . xk,2 xk+1,2 . . . xq,2
0 0 . . . xk,3 xk+1,3 . . . xq,3
X=
xq,1
0 1 xk+1,k . . .
0 0
xq,k
Series order denes interpretation of factors
Valencia VII, 2002
Stochastic Volatility Models: Factors & Idiosyncracies
Multivariate SV models vector AR(1) model for latent log volatilities t volatility persistence: AR(1) coecients (diagonal) marginal volatility levels: time-varying t dependent innovations: shocks to volatilities related across series global/sector eects represented through correlations t = t + (t1 t1 ) + t t N (0, U) t random walk
Valencia VII, 2002
Dynamic Regressions and Shrinkage Models

several predictors (e.g., interest rates) regression coecients time-varying shrinkage models: coecients related across series e.g., sensitivity to short-term interest rates similar across currencies Series j, time t : jt = jt j,t1 + (1 jt )t + innovationjt global or sector average t time-varying degrees of shrinkage jt multiple series, several predictors: state-space model formulations
Valencia VII, 2002
Model Fitting & Analysis: MCMC
Inference based on a xed sample over t = 1, . . . , T Bayesian analysis via posterior simulations Monte Carlo samples from joint posterior for model parameters, dynamic regression parameters, AND latent processes: factors & volatilities { ft , t : t = 1, . . . , T } examples of highly structured, hierarchical models with many latent variables and parameters custom MCMC built of standard modules simple MC evaluation of forecast/predictive distributions
Valencia VII, 2002
Model Fitting & Analysis: Sequential Analyses
Sequential particle ltering over t = T + 1, T + 2, , . . . particulate approximation to posterior distributions prior: cloud of particles, associated importance weights posterior: sampling/importance resampling to revise posterior samples p(|Dt1 ) p(|Dt ) sample regeneration by local smoothing of particulate prior time-varying latent variables and model parameters
Valencia VII, 2002
Volatilities (SD) of Currency Returns (monthly)

DEM
0.15 0.15
JPY
stdev 0.10
0.05
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
0.05
stdev 0.10
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
GBP
0.15 0.15
AUD
stdev 0.10
0.05
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
0.05
stdev 0.10
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
CAD
0.15 0.15
CHF
stdev 0.10
0.05
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
0.05
stdev 0.10
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
FRF
0.15 0.15
NLG
stdev 0.10
0.05
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
0.05
stdev 0.10
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
Valencia VII, 2002
2 Latent Factors and their Volatilities (SD) (monthly)

DEM
0.10 Factor 1 0.0 0.05 0.12
7602 8102 8602 9102 9602
-0.10
0.0
0.04
7602
Factor 1 0.08
8102
8602
9102
9602
JPY
0.10 Factor 2 0.0 0.05 0.12
7602 8102 8602 9102 9602
-0.10
0.0
0.04
7602
Factor 2 0.08
8102
8602
9102
9602
Valencia VII, 2002
3 Latent Factors and their Volatilities (SD) (monthly)

DEM
0.10 0.08
7602 7710 7906 8102 8210 8406 8602 8710 8906 9102 9210 9406 9602 9710
0.05
Factor 1 0.0
-0.05
-0.10
0.0
7602
0.02
Factor 1 0.04
0.06
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
JPY
0.10 0.08
7602 7710 7906 8102 8210 8406 8602 8710 8906 9102 9210 9406 9602 9710
0.05
Factor 2 0.0
-0.05
-0.10
0.0
7602
0.02
Factor 2 0.04
0.06
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
GBP
0.10 0.08
7602 7710 7906 8102 8210 8406 8602 8710 8906 9102 9210 9406 9602 9710
0.05
Factor 3 0.0
-0.05
-0.10
0.0
7602
0.02
Factor 3 0.04
0.06
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
Valencia VII, 2002
Factor Loading Matrix X (monthly)
Factor 1 DEM 1.00 (0.00) JPY GBP AUD CAD CHF FRF ESP 0.55 (0.06) 0.68 (0.05) 0.23 (0.03) 0.04 (0.02) 1.04 (0.03)
Factor 2 0.00 (0.00) 1.00 (0.00) 0.48 (0.14) 0.35 (0.07) 0.03 (0.08) 0.23 (0.07)
0.96 (0.01) -0.01 (0.02) 0.99 (0.01) -0.01 (0.01)
Valencia VII, 2002
Factor Loading Matrix X (monthly)
Factor 1 DEM FRF ESP CHF GBP JPY AUD CAD 1 1 1 1 0.7 0.5 0.2
Factor 2 0.2 0.5 1 0.3
Valencia VII, 2002
Idiosyncratic Volatilities (SD) (monthly)

DEM
Idiosyncratic 0.05 0.10 0.15 Idiosyncratic 0.05 0.10 0.15
JPY
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
GBP
AUD
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
CAD
CHF
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
FRF
NLG
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
0.0
7602
7710
7906
8102
8210
8406
8602
8710
8906
9102
9210
9406
9602
9710
Valencia VII, 2002
Financial Time Series
Models/forecasts feed into portfolio decision management Quintana et al invited talk, Valencia VII Live/Operational assessments of dynamic factor models Improved sequential particle ltering: parameters Time-varying loadings matrices Xt , parameters Uncertainty about number of factors
Valencia VII, 2002
Bayesian Time Series, Currently

Applied aspects: Financial modelling and forecasting Natural/engineering sciences: signal processing Spatial time series: epidemiology, environment, ecology Models and methods: Highly structured multiple time series Spatial time series Computational methods: Sequential simulation methods
Valencia VII, 2002
Links & Materials

Books and papers: www.isds.duke.edu/mw Copious references to broad literatures 1997 Tutorial extensive and historical at website Teaching materials, notes, from past time series courses Software: www.isds.duke.edu/mw TVAR (matlab, fortran), AR component models, BATS, links Encylopedia of Statistical Sciences (1998): Bayesian Forecasting (eds: S. Kotz, C.B. Read, and D.L. Banks), Wiley. 1997 2nd Edition: West & Harrison/Springer book Bayesian Forecasting & Dynamic Models Aguilar, Prado, Huerta & West (1999), Valencia 6 invited paper
Valencia VII, 2002
Key Recent (since 1995) & Current Authors

many/most are here!
Omar Aguilar (Lehman Bros) Sid Chib (Washington Univ/St Louis) Simon Godsill & Co (Cambridge) Genshiro Kitagawa (ISM Tokyo) Jane Liu (UBS NY) Viridiana Lourdes (ITAM Mexico) Michael Pitt (Warwick) Raquel Prado (Santa Cruz) Peter Rossi (Chicago) Chris Carter (Hong Kong) Sylvia Frhwirth-Schnatter (Vienna) u Gabriel Huerta (Univ New Mexico) Robert Kohn (Sydney) Hedibert Lopes (Rio) Giovanni Petris (Univ Arkansas) Nicolas Polson (Chicago) Jos M Quintana (Nikko NY) e Neil Shephard (Oxford)
Valencia VII, 2002
... and, of course, ...

Valencia VII Invited Papers Quintana, Lourdes, Aguilar & Liu Global gambling: multivariate nancial time series Davy & Godsill Signal processing, latent structure, MCMC ... plus a number of contributed talks and posters

Bayesian Time Series

Uploaded by

Document Information

Original Description:

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Bayesian Time Series

Uploaded by

Copyright:

Available Formats

BAYESIAN TIME SERIES

A (hugely selective) introductory overview - contacting current research frontiers -

Mike West Institute of Statistics & Decision Sciences Duke University

Mike West - ISDS, Duke University

Valencia VII, 2002

Simulation-Based Computation MCMC Sequential simulation methodology

Mike West - ISDS, Duke University

Valencia VII, 2002

Standard Dynamic Models

Dynamic Linear Models yt = x t + t xt = F t t

Linear State Space Models

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Simple regression example

Ft = (1, Xt ) and t = (at , bt ) wanders through time

Mike West - ISDS, Duke University

Valencia VII, 2002

Sales Data Example

Mike West - ISDS, Duke University

Valencia VII, 2002

Sales Data Example

80 Sales 70 60 50 40 30 20 10 0 0 25 50 75 100 125 150 175 200 Market

Mike West - ISDS, Duke University

Valencia VII, 2002

Sales Data Example

RATIO 0.47 0.46 0.45 0.44 0.43 0.42

Mike West - ISDS, Duke University

Valencia VII, 2002

Simple Regression Example

Mike West - ISDS, Duke University

Valencia VII, 2002

General Dynamic Linear Model

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Models in Commercial Applications

(aj,t cos(2 j/p) + bj,t sin(2 j/p))

Mike West - ISDS, Duke University

Valencia VII, 2002

Special Classes of DLMs

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

Mike West - ISDS, Duke University

Valencia VII, 2002

MCMC: Autoregressive Model Example

Parameters: {1 , . . . , d ; V (t ), V ( t )} Conditional posteriors standard: linear regression parameters

Mike West - ISDS, Duke University

Valencia VII, 2002

Models in Scientic Applications

Mike West - ISDS, Duke University