Controlling the flexibility of non-Gaussian processes through shrinkage priors

DOI10.1214/22-BA1342arXiv2203.05510OpenAlexW4313003093MaRDI QIDQ6203348FDOQ6203348

Authors: Rafael Cabral, David Bolin, Håvard Rue 

Publication date: 27 February 2024

Published in: Bayesian Analysis (Search for Journal in Brave)

Abstract: The normal inverse Gaussian (NIG) and generalized asymmetric Laplace (GAL) distributions can be seen as skewed and semi-heavy-tailed extensions of the Gaussian distribution. Models driven by these more flexible noise distributions are then regarded as flexible extensions of simpler Gaussian models. Inferential procedures tend to overestimate the degree of non-Gaussianity in the data and therefore we propose controlling the flexibility of these non-Gaussian models by adding sensible priors in the inferential framework that contract the model towards Gaussianity. In our venture to derive sensible priors, we also propose a new intuitive parameterization of the non-Gaussian models and discuss how to implement them efficiently in $Stan$. The methods are derived for a generic class of non-Gaussian models that include spatial Mat'ern fields, autoregressive models for time series, and simultaneous autoregressive models for aerial data. The results are illustrated with a simulation study and geostatistics application, where priors that penalize model complexity were shown to lead to more robust estimation and give preference to the Gaussian model, while at the same time allowing for non-Gaussianity if there is sufficient evidence in the data.

Full work available at URL: https://arxiv.org/abs/2203.05510

zbMATH Keywords

Bayesiannon-GaussianSPDEpriorsnormal inverse Gaussianpenalized complexityMatérn covariancegeneralized asymmetric Laplace

Mathematics Subject Classification ID

Bayesian inference (62F15) Random fields; image analysis (62M40) Inference from stochastic processes and prediction (62M20)

Cites Work

• Gaussian Markov Random Fields
• Practical Bayesian model evaluation using leave-one-out cross-validation and WAIC
• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Approximate Bayesian inference for hierarchical Gaussian Markov random field models
• The Rational SPDE Approach for Gaussian Random Fields With General Smoothness
• Stochastic volatility model with leverage and asymmetrically heavy-tailed error using GH skew Student's \(t\)-distribution
• Title not available (Why is that?)
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Penalising model component complexity: a principled, practical approach to constructing priors
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Title not available (Why is that?)
• Geostatistical modelling using non-Gaussian Matérn fields
• Title not available (Why is that?)
• Intermediate Probability
• Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
• Title not available (Why is that?)
• Spatial Matérn fields driven by non-Gaussian noise
• Bayesian functional data modeling for heterogeneous volatility
• Bayesian estimation of generalized hyperbolic skewed student GARCH models
• Bayesian analysis of spatial generalized linear mixed models with Laplace moving average random fields
• Skewed probit regression -- identifiability, contraction and reformulation
• Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions
• Multivariate type G Matérn stochastic partial differential equation random fields
• Autoregressive processes with generalized hyperbolic innovations

This page was built for publication: Controlling the flexibility of non-Gaussian processes through shrinkage priors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6203348)