The Library
Stick-breaking autoregressive processes
Tools
Griffin, Jim E. and Steel, Mark F. J. (2011) Stick-breaking autoregressive processes. Journal of Econometrics, Vol.162 (No.2). pp. 383-396. doi:10.1016/j.jeconom.2011.03.001 ISSN 0304-4076.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1016/j.jeconom.2011.03.001
Abstract
This paper considers the problem of defining a time-dependent nonparametric prior for use in Bayesian nonparametric modelling of time series. A recursive construction allows the definition of priors whose marginals have a general stick-breaking form. The processes with Poisson-Dirichlet and Dirichlet process marginals are investigated in some detail. We develop a general conditional Markov Chain Monte Carlo (MCMC) method for inference in the wide subclass of these models where the parameters of the marginal stick-breaking process are nondecreasing sequences. We derive a generalised Polya urn scheme type representation of the Dirichlet process construction, which allows us to develop a marginal MCMC method for this case. We apply the proposed methods to financial data to develop a semi-parametric stochastic volatility model with a time-varying nonparametric returns distribution. Finally, we present two examples concerning the analysis of regional GDP and its growth. (C) 2011 Elsevier B.V. All rights reserved.
Item Type: | Journal Article | ||||
---|---|---|---|---|---|
Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Nonparametric statistics | ||||
Journal or Publication Title: | Journal of Econometrics | ||||
Publisher: | Elsevier BV * North-Holland | ||||
ISSN: | 0304-4076 | ||||
Official Date: | June 2011 | ||||
Dates: |
|
||||
Volume: | Vol.162 | ||||
Number: | No.2 | ||||
Page Range: | pp. 383-396 | ||||
DOI: | 10.1016/j.jeconom.2011.03.001 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |