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Full-Text Articles in Statistics and Probability

Functional Car Models For Spatially Correlated Functional Datasets, Lin Zhang, Veerabhadran Baladandayuthapani, Hongxiao Zhu, Keith A. Baggerly, Tadeusz Majewski, Bogdan Czerniak, Jeffrey S. Morris Jan 2016

Functional Car Models For Spatially Correlated Functional Datasets, Lin Zhang, Veerabhadran Baladandayuthapani, Hongxiao Zhu, Keith A. Baggerly, Tadeusz Majewski, Bogdan Czerniak, Jeffrey S. Morris

Jeffrey S. Morris

We develop a functional conditional autoregressive (CAR) model for spatially correlated data for which functions are collected on areal units of a lattice. Our model performs functional response regression while accounting for spatial correlations with potentially nonseparable and nonstationary covariance structure, in both the space and functional domains. We show theoretically that our construction leads to a CAR model at each functional location, with spatial covariance parameters varying and borrowing strength across the functional domain. Using basis transformation strategies, the nonseparable spatial-functional model is computationally scalable to enormous functional datasets, generalizable to different basis functions, and can be used on …


Auxiliary Likelihood-Based Approximate Bayesian Computation In State Space Models, Worapree Ole Maneesoonthorn Dec 2015

Auxiliary Likelihood-Based Approximate Bayesian Computation In State Space Models, Worapree Ole Maneesoonthorn

Worapree Ole Maneesoonthorn

A new approach to inference in state space models is proposed, using approximate Bayesian computation (ABC). ABC avoids evaluation of an intractable likelihood by matching summary statistics computed from observed data with statistics computed from data simulated from the true process, based on parameter draws from the prior. Draws that produce a 'match' between observed and simulated summaries are retained, and used to estimate the inaccessible posterior; exact inference being feasible only if the statistics are suffi#14;cient. With no reduction to su#14;fficiency being possible in the state space setting, we pursue summaries via the maximization of
an auxiliary likelihood function. …


Shrinkage Estimation For Multivariate Hidden Markov Mixture Models, Mark Fiecas, Jürgen Franke, Rainer Von Sachs, Joseph Tadjuidje Dec 2015

Shrinkage Estimation For Multivariate Hidden Markov Mixture Models, Mark Fiecas, Jürgen Franke, Rainer Von Sachs, Joseph Tadjuidje

Mark Fiecas

Motivated from a changing market environment over time, we consider high-dimensional data such as financial returns, generated by a hidden Markov model which allows for switching between different regimes or states. To get more stable estimates of the covariance matrices of the different states, potentially driven by a number of observations which is small compared to the dimension, we apply shrinkage and combine it with an EM-type algorithm. This approach will yield better estimates a more stable estimates of the covariance matrix, which allows for improved reconstruction of the hidden Markov chain. In addition to a simulation study and the …