Bayesian Circular Lattice Filters for Computationally Efficient Estimation of Multivariate Time-Varying Autoregressive Models
STATS(2023)
Amazon Com Inc
Abstract
Estimation of time-varying autoregressive models for count-valued time series can be computationally challenging. In this direction, we propose a time-varying Poisson autoregressive (TV-Pois-AR) model that accounts for the changing intensity of the Poisson process. Our approach can capture the latent dynamics of the time series and therefore make superior forecasts. To speed up the estimation of the TV-AR process, our approach uses the Bayesian Lattice Filter. In addition, the No-U-Turn Sampler (NUTS) is used, instead of a random walk Metropolis–Hastings algorithm, to sample intensity-related parameters without a closed-form full conditional distribution. The effectiveness of our approach is evaluated through model-based and empirical simulation studies. Finally, we demonstrate the utility of the proposed model through an example of COVID-19 spread in New York State and an example of US COVID-19 hospitalization data.
MoreTranslated text
Key words
Bayesian hierarchical model,nonstationary time series,partial autocorrelation,time-varying spectral density,vector autoregressive model
PDF
View via Publisher
AI Read Science
Must-Reading Tree
Example

Generate MRT to find the research sequence of this paper
Data Disclaimer
The page data are from open Internet sources, cooperative publishers and automatic analysis results through AI technology. We do not make any commitments and guarantees for the validity, accuracy, correctness, reliability, completeness and timeliness of the page data. If you have any questions, please contact us by email: report@aminer.cn
Chat Paper
Summary is being generated by the instructions you defined