Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach

DOI10.1016/J.JMVA.2019.104560zbMATH Open1475.62156arXiv1811.10292OpenAlexW2981316495WikidataQ123417515 ScholiaQ123417515MaRDI QIDQ2293389FDOQ2293389

Authors: Alexander Meier, Claudia Kirch, Renate Meyer 

Publication date: 5 February 2020

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: While there is an increasing amount of literature about Bayesian time series analysis, only a few Bayesian nonparametric approaches to multivariate time series exist. Most methods rely on Whittle's Likelihood, involving the second order structure of a stationary time series by means of its spectral density matrix. This is often modeled in terms of the Cholesky decomposition to ensure positive definiteness. However, asymptotic properties such as posterior consistency or posterior contraction rates are not known. A different idea is to model the spectral density matrix by means of random measures. This is in line with existing approaches for the univariate case, where the normalized spectral density is modeled similar to a probability density, e.g. with a Dirichlet process mixture of Beta densities. In this work, we present a related approach for multivariate time series, with matrix-valued mixture weights induced by a Hermitian positive definite Gamma process. The proposed procedure is shown to perform well for both simulated and real data. Posterior consistency and contraction rates are also established.

Full work available at URL: https://arxiv.org/abs/1811.10292

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zbMATH Keywords

Bayesian nonparametricsspectral densitycompletely random measuresstationary multivariate time series

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15)

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Cited In (7)

• Fast Bayesian inference on spectral analysis of multivariate stationary time series
• Beyond Whittle: nonparametric correction of a parametric likelihood with a focus on Bayesian time series analysis
• Posterior consistency for the spectral density of non‐Gaussian stationary time series
• A nonparametrically corrected likelihood for Bayesian spectral analysis of multivariate time series
• Bayesian spectral density estimation using P-splines with quantile-based knot placement
• Decomposition and graphical correspondence analysis of checkerboard copulas
• On quasi-infinitely divisible random measures

Uses Software

• astsa
• beyondWhittle

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