Bracegirdle, CI;
(2013)
Inference in Bayesian Time-Series Models.
Doctoral thesis (PhD), UCL (University College London).
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Abstract
Time series-data accompanied with a sequential ordering-occur and evolve all around us. Analysing time series is the problem of trying to discern and describe a pattern in the sequential data that develops in a logical way as the series continues, and the study of sequential data has occurred for a long period across a vast array of fields, including signal processing, bioinformatics, and finance-to name but a few. Classical approaches are based on estimating the parameters of temporal evolution of the process according to an assumed model. In econometrics literature, the field is focussed on parameter estimation of linear (regression) models with a number of extensions. In this thesis, I take a Bayesian probabilistic modelling approach in discrete time, and focus on novel inference schemes. Fundamentally, Bayesian analysis replaces parameter estimates by quantifying uncertainty in the value, and probabilistic inference is used to update the uncertainty based on what is observed in practice. I make three central contributions. First, I discuss a class of latent Markov model which allows a Bayesian approach to internal process resets, and show how inference in such a model can be performed efficiently, before extending the model to a tractable class of switching time series models. Second, I show how inference in linear-Gaussian latent models can be extended to allow a Bayesian approach to variance, and develop a corresponding variance-resetting model, the heteroskedastic linear-dynamical system. Third, I turn my attention to cointegration-a headline topic in finance-and describe a novel estimation scheme implied by Bayesian analysis, which I show to be empirically superior to the classical approach. I offer example applications throughout and conclude with a discussion.
| Type: | Thesis (Doctoral) |
|---|---|
| Qualification: | PhD |
| Title: | Inference in Bayesian Time-Series Models |
| Open access status: | An open access version is available from UCL Discovery |
| Language: | English |
| Keywords: | Time series, Cointegration, Change-points, Probabilistic Inference, Machine Learning, Bayesian Inference |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > Dept of Computer Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1383529 |
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