JSM 2011 Online Program

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Abstract Details

Activity Number: 638
Type: Invited
Date/Time: Thursday, August 4, 2011 : 10:30 AM to 12:20 PM
Sponsor: IMS
Abstract - #300079
Title: Bayesian Modeling for Multivariate Nonstationary Systems
Author(s): Raquel Prado*+
Companies: University of California at Santa Cruz
Address: Baskin School of Engineering, UCSC, Santa Cruz, CA, 95064, USA
Keywords: Multivariate time series ; non-stationary time series ; structured dynamic factor models ; state-space autoregressions ; large-scale time series data ; Bayesian computation

Recent advances in Bayesian modelling of multiple non-stationary time series will be presented. In particular, hierarchical dynamic factor models and mixtures of dynamic factor models with structured autoregressive latent factors will be considered and illustrated in applied settings. These models are suitable for describing multiple large-scale non-stationary brain signals recorded from one or several subjects in clinical and non-clinical studies. Approaches for posterior computation will be discussed and illustrated, including those based on Markov chain Monte Carlo methods and sequential Monte Carlo methods.

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