Penalised complexity priors for stationary autoregressive processes

DOI10.1111/JTSA.12242MaRDI QIDQ4596431zbMATH OpenOpenAlexFDO

Authors Sigrunn H. Sørbye, Håvard Rue

Publication date 1 December 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1608.08941, http://hdl.handle.net/10754/625107

zbMATH Keywords

AR(\(p\))latent Gaussian modelsprior selection \texttt{R-INLA}robustness

Mathematics Subject Classification ID

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

Abstract: The autoregressive process of order $p$ (AR($p$)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR($p$) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior, to ensure that it behaves according to the users prior knowledge. In this paper, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These priors have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time-dependent frailty. For higher-order processes, we propose a sequential approach, where the base model for AR($p$) is the corresponding AR($p-1$) model expressed using the partial autocorrelations. The properties of the new prior are compared with the reference prior in a simulation study.

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