Bayesian model determination for binary time-series data with applications

DOI10.1016/S0167-9473(00)00053-0MaRDI QIDQ5941335zbMATH OpenFDO

Authors S.-I. Liu

Publication date 20 August 2001

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(00)00053-0

zbMATH Keywords

Binary-time-series dataMarkov chain Monte CarloModel determinationMulti-period forecastsPosterior inferencesProbit model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Numerical analysis or methods applied to Markov chains (65C40)

Review text

This article considers the Bayesian analysis of binary time-series data. Continuous latent random variables are introduced to develop a regression model containing some exogenous variables and past experiences expressed by an autoregressive model. The order of the autoregressive component is treated as a parameter, instead of being fixed in advance. By using some reversible Markov chain Monte Carlo technique proposed by \textit{P. J. Green} [Biometrika 82, 711-732 (1995; Zbl 0861.62023)], the order of the autoregressive component is determined, and the marginal posterior density of each parameter and the multi-period predictive probabilities are, respectively, estimated. Simulation is provided to examine influences on the order determination, via the size of the binary time series. Also, one set of real data, the Six Cities study of the health effects of air pollution, is applied to illustrate the usage of the proposed model. Some interesting results about maternal smoking and child's wheezing are interpreted.

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Cites work

• A likelihood-based method for analysing longitudinal binary responses
• Bayesian Analysis of Binary and Polychotomous Response Data
• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• Sampling-Based Approaches to Calculating Marginal Densities

Cited in

(6)

• Regression models for binary time series with gaps
• Applying hierarchical Bayesian neural network in failure time prediction
• Bayes estimation of binary time series
• Binary time series modeling with application to adhesion frequency experiments
• Bayesian comparative study on binary time series
• Bayesian first order auto-regressive latent variable models for multiple binary sequences

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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