Bayesian multivariate nonlinear state space copula models

DOI10.1016/J.CSDA.2023.107820MaRDI QIDQ6096679zbMATH OpenOpenAlexFDO

Authors

Publication date 15 September 2023

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

Full work available at URL https://arxiv.org/abs/1911.00448

zbMATH Keywords

Bayesian inferencecopulasHamiltonian Monte Carlostate space models

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Abstract: In this paper we propose a flexible class of multivariate nonlinear non-Gaussian state space models, based on copulas. More precisely, we assume that the observation equation and the state equation are defined by copula families that are not necessarily equal. For each time point, the resulting model can be described by a C-vine copula truncated after the first tree, where the root node is represented by the latent state. Inference is performed within the Bayesian framework, using the Hamiltonian Monte Carlo method, where a further D-vine truncated after the first tree is used as prior distribution to capture the temporal dependence in the latent states. Simulation studies show that the proposed copula-based approach is extremely flexible, since it is able to describe a wide range of dependence structures and, at the same time, allows us to deal with missing data. The application to atmospheric pollutant measurement data shows that our approach is suitable for accurate modeling and prediction of data dynamics in the presence of missing values. Comparison to a Gaussian linear state space model and to Bayesian additive regression trees shows the superior performance of the proposed model with respect to predictive accuracy.

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Cited in

(4)

• Bayesian nonparametric inference for a multivariate copula function
• A novel varying-coefficient autoregressive model with explanatory variable
• Dependence modelling across major causes of death via time-varying copula state space models
• On the observability of copula state space models using a Bayesian approach

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