Bayesian semiparametric long memory models for discretized event data

DOI10.1214/21-AOAS1546zbMath1498.62199arXiv2004.08309OpenAlexW3016551132WikidataQ115468122 ScholiaQ115468122MaRDI QIDQ2170388

Antik Chakraborty, Otso Ovaskainen, David B. Dunson

Publication date: 5 September 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.08309

zbMATH Keywords

time seriesfractional Brownian motionlong range dependencefractalprobitnonparametric Bayeslatent Gaussian process models

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) Nonparametric estimation (62G05) Bayesian inference (62F15)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Nonparametric regression with long-range dependence
• Fractional Poisson process
• Optimal scaling for various Metropolis-Hastings algorithms.
• Multivariate integer-valued time series with flexible autocovariances and their application to major hurricane counts
• Gaussian semiparametric estimation of long range dependence
• Approximate Bayesian Inference for Latent Gaussian models by using Integrated Nested Laplace Approximations
• Measuring nonlinear dependence in time-series, a distance correlation approach
• Some Models for Discretized Series of Events
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• An Exact Gibbs Sampler for the Markov-Modulated Poisson Process
• A new look at time series of counts
• Autoregressive moving-average processes with negative-binomial and geometric marginal distributions
• Some ARMA models for dependent sequences of poisson counts
• Analysis of multivariate probit models
• Long-Term Memory in Stock Market Prices
• The Markov-modulated Poisson process (MMPP) cookbook
• Gaussian Markov Random Fields
• Long-Memory Processes
• Localized Realized Volatility Modeling
• Long-Range Dependence and Self-Similarity
• Long Range Dependence
• Fractional Brownian Motions, Fractional Noises and Applications
• Analytic Inequalities
• Predictive Model Assessment for Count Data