Stick-breaking autoregressive processes
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 Pólya 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.
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Volume (Year): 162 (2011)
Issue (Month): 2 (June)
Pages: 383-396
| Handle: | RePEc:eee:econom:v:162:y:2011:i:2:p:383-396 |
| Contact details of provider: | Web page: http://www.elsevier.com/locate/jeconom
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