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Friday, May 18
Computational Statistics
Advances in Bayesian Analytics
Fri, May 18, 1:30 PM - 3:00 PM
Grand Ballroom E

Bayesian Analysis of Multivariate Non-Gaussian Time Series (304927)

*Refik Soyer, George Washington University 

We consider modeling of multivariate nonGaussian time series of correlated observations. In so doing, we focus on multivariate time series of durations and counts. Dependence among series arises as a result of sharing a common dynamic environment. We discuss characteristics of the resulting multivariate time series models and develop Bayesian inference for them using particle filtering and Markov chain Monte Carlo methods.