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Activity Number: 576
Type: Invited
Date/Time: Wednesday, August 12, 2015 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract #314201
Title: A Bayesian Multivariate Functional Dynamic Linear Model
Author(s): David S. Matteson* and Daniel Kowal and David Ruppert
Companies: Cornell University and Cornell University and Cornell University
Keywords: Functional Data ; Time-Frequency Analysis ; Time Series ; Yield Curve
Abstract:

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data-functional, time dependent, and multivariate components-we extend hierarchical dynamic linear models for multivariate time series to the functional data setting. We also develop Bayesian spline theory in a more general constrained optimization framework. The resulting estimates are smooth and interpretable, and can be made common across multivariate observations for additional information sharing. The Bayesian framework permits joint estimation of these components, provides exact inference (up to MCMC error) on specific parameters, and allows generalized dependence structures. Sampling from the posterior distribution is accomplished with an efficient Gibbs sampling algorithm. We illustrate the proposed framework with two applications: (1) multi-economy yield curve data from the recent global recession, and (2) local field potential brain signals in rats, for which we develop a multivariate functional time series approach for time-frequency analysis of periodic behavior.


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