This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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520
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Type:
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Contributed
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Date/Time:
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Wednesday, August 4, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Bayesian Statistical Science
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| Abstract - #308449 |
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Title:
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Online Detection of Outliers and Structural Breaks
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Author(s):
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Giovanni Petris*+
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Companies:
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University of Arkansas
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Address:
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1, University of Arkansas, Fayetteville, AR, 72701,
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Keywords:
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Outlier detection ;
Sequential Monte Carlo ;
Structural Time Series ;
Structural Breaks
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Abstract:
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We propose a Bayesian version of the classical Structural Time Series model which is particularly well-suited to detect outliers or structural breaks -- in any of the unobserved components -- in a time series. Standard MCMC methods can be used for retrospective analysis. Sequential Monte Carlo methods for online inference will be illustrated.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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