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Bayesian non-parametric signal extraction for Gaussian time series

  • Macaro, Christian
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    We consider the problem of unobserved components in time series from a Bayesian non-parametric perspective. The identification conditions are treated as unknown and analyzed in a probabilistic framework. In particular, informative prior distributions force the spectral decomposition to be in an identifiable region. Then, the likelihood function adapts the prior decompositions to the data. A full Bayesian analysis of unobserved components will be presented for financial high frequency data. Particularly, a three component model (long-term, intra-daily and short-term) will be analyzed to emphasize the importance and the potential of this work when dealing with the Value-at-Risk analysis. A second astronomical application will show how to deal with multiple periodicities.

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    File URL: http://www.sciencedirect.com/science/article/B6VC0-4YN5PN7-1/2/dcbde02c91137ce854e375535536827b
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 157 (2010)
    Issue (Month): 2 (August)
    Pages: 381-395

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    Handle: RePEc:eee:econom:v:157:y:2010:i:2:p:381-395
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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