Bayesian Nonparametric Vector Autoregressive Models via a logit stick-breaking prior
Date:
Joint work with Alessandra Guglielmi and Fernando Quintana
Abstract
We propose a semiparametric VAR model with exogenous covariates for nonstationary multidimensional longitudinal data, where a dependent stick-breaking prior is assumed for the autoregressive component through logit stick-breaking. We develop an efficient Gibbs sampling algorithm for MCMC posterior simulation, leveraging recent results on logit stick-breaking priors. We also illustrate the approach through simulations and medical data.
I was awarded a travel grant to present this research project.
See my poster!