Posterior mean and variance approximation for regression and time series problems

DOI10.1080/02331880701864978zbMATH Open1274.62624arXiv0802.0213OpenAlexW2167843024MaRDI QIDQ3396471FDOQ3396471

Authors:

Publication date: 18 September 2009

Published in: Statistics (Search for Journal in Brave)

Abstract: This paper develops a methodology for approximating the posterior first two moments of the posterior distribution in Bayesian inference. Partially specified probability models, which are defined only by specifying means and variances, are constructed based upon second-order conditional independence, in order to facilitate posterior updating and prediction of required distributional quantities. Such models are formulated particularly for multivariate regression and time series analysis with unknown observational variance-covariance components. The similarities and differences of these models with the Bayes linear approach are established. Several subclasses of important models, including regression and time series models with errors following multivariate $t$, inverted multivariate $t$ and Wishart distributions, are discussed in detail. Two numerical examples consisting of simulated data and of US investment and change in inventory data illustrate the proposed methodology.

Full work available at URL: https://arxiv.org/abs/0802.0213

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zbMATH Keywords

Kalman filterBayesian inferenceregressiontime seriesstate space modelsconditional independencedynamic linear modelsBayes linear methodsBayesian forecasting

Mathematics Subject Classification ID

Bayesian inference (62F15) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (5)

• Dynamic non-parametric monitoring of air-pollution
• Inference of dynamic generalized linear models: on-line computation and appraisal
• Approximating posterior probabilities in a linear model with possibly noninvertible moving average errors
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Uses Software

• Fahrmeir

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