Bayesian mixture of autoregressive models

John Lau, M.K.P. So

    Research output: Contribution to journalArticle

    16 Citations (Scopus)

    Abstract

    An infinite mixture of autoregressive models is developed. The unknown parameters in the mixture autoregressive model follow a mixture distribution, which is governed by a Dirichlet process prior. One main feature of our approach is the generalization of a finite mixture model by having the number of components unspecified. A Bayesian sampling scheme based on a weighted Chinese restaurant process is proposed to generate partitions of observations. Using the partitions, Bayesian prediction, while accounting for possible model uncertainty, determining the most probable number of mixture components, clustering of time series and outlier detection in time series, can be done. Numerical results from simulated and real data are presented to illustrate the methodology. (c) 2008 Elsevier B.V. All rights reserved.
    Original languageEnglish
    Pages (from-to)38-60
    JournalComputational Statistics and Data Analysis
    Volume53
    Issue number1
    DOIs
    Publication statusPublished - 2008

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