This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
Activity Number:
|
520
|
Type:
|
Contributed
|
Date/Time:
|
Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
|
Sponsor:
|
Section on Bayesian Statistical Science
|
Abstract - #306550 |
Title:
|
Bayesian Mixtures of Autoregressive Models
|
Author(s):
|
Ori Rosn*+ and Sally Wood and Robert Kohn
|
Companies:
|
The University of Texas at El Paso and Melbourne Business School and University of New South Wales
|
Address:
|
, , ,
|
Keywords:
|
Forecasting ;
Mixtures-of-experts ;
Nonstationary time series ;
Reversible jump MCMC
|
Abstract:
|
We propose a class of time-domain models for analyzing possibly nonstationary time series. This class of models is formed as a mixture of time series models, whose mixing weights are a function of time. We consider specifically mixtures of autoregressive models with a common but unknown lag. The model parameters, including the number of mixture components, are estimated via Markov chain Monte Carlo methods. The methodology is illustrated with simulated and real data.
|
The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
Back to the full JSM 2010 program
|
2010 JSM Online Program Home
For information, contact jsm@amstat.org or phone (888) 231-3473.
If you have questions about the Continuing Education program, please contact the Education Department.