Nonparametric dynamic state space modeling of observed circular time series with circular latent states: a Bayesian perspective

DOI10.1080/15598608.2017.1305922zbMATH Open1425.62127arXiv1610.08367OpenAlexW2543112437MaRDI QIDQ2321807FDOQ2321807

Authors: Satyaki Mazumder, Sourabh Bhattacharya 

Publication date: 23 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Abstract: Circular time series has received relatively little attention in statistics and modeling complex circular time series using the state space approach is non-existent in the literature. In this article we introduce a flexible Bayesian nonparametric approach to state space modeling of observed circular time series where even the latent states are circular random variables. Crucially, we assume that the forms of both observational and evolutionary functions, both of which are circular in nature, are unknown and time-varying. We model these unknown circular functions by appropriate wrapped Gaussian processes having desirable properties. We develop an effective Markov chain Monte Carlo strategy for implementing our Bayesian model, by judiciously combining Gibbs sampling and Metropolis-Hastings methods. Validation of our ideas with a simulation study and two real bivariate circular time series data sets, where we assume one of the variables to be unobserved, revealed very encouraging performance of our model and methods. We finally analyse a data consisting of directions of whale migration, considering the unobserved ocean current direction as the latent circular process of interest. The results that we obtain are encouraging, and the posterior predictive distribution of the observed process correctly predicts the observed whale movement.

Full work available at URL: https://arxiv.org/abs/1610.08367

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zbMATH Keywords

state-space modelMarkov-chain Monte Carlolook-up tablecircular time serieslatent circular processwrapped Gaussian process

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cites Work

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• Monte Carlo strategies in scientific computing
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• Statistical Analysis of Circular Data
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• Bayesian inference in nonparametric dynamic state-space models
• A simulation approach to Bayesian emulation of complex dynamic computer models
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• Bayesian nonparametric dynamic state space modeling with circular latent states
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Cited In (2)

• Recent advances in directional statistics
• Bayesian nonparametric dynamic state space modeling with circular latent states

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