Multi-scale and hidden resolution time series models

DOI10.1214/06-BA131MaRDI QIDQ5965300zbMATH OpenOpenAlexFDO

Authors Marco A. R. Ferreira, Mike West, Herbert K. H. Lee, David M. Higdon

Publication date 2 March 2016

Published in Bayesian Analysis (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.ba/1340370948

zbMATH Keywords

autoregressive modelsBayesian inferencecombination of multi-resolution informationJeffrey's rule of conditioningmulti-scale stochastic modelsmulti-scale time series models

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

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• Temporal aggregation of lognormal AR processes
• Multiscale trend analysis
• Bayesian identification of stochastic linear systems with observations at multiple scales
• Computationally efficient statistical differential equation modeling using homogenization
• Hidden multi-resolution ARMA models for nonlinear time series forecasting
• Multiresolution analysis of long time series with application to finance.
• Modeling temporally misaligned data across space: the case of total pollen concentration in Toronto
• Scaled envelope models for multivariate time series

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