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- Title
Bayesian modeling of multivariate time series of counts.
- Authors
Soyer, Refik; Zhang, Di
- Abstract
In this article, we present an overview of recent advances in Bayesian modeling and analysis of multivariate time series of counts. We discuss basic modeling strategies including integer valued autoregressive processes, multivariate Poisson time series and dynamic latent factor models. In so doing, we make a connection with univariate modeling frameworks such as dynamic generalized models, Poisson state space models with gamma evolution and present Bayesian approaches that extend these frameworks to multivariate setting. During our development, recent Bayesian approaches to the analysis of integer valued autoregressive processes and multivariate Poisson models are highlighted and concepts such as "decouple/recouple" and "common random environment" are presented. The role that these concepts play in Bayesian modeling and analysis of multivariate time series are discussed. Computational issues associated with Bayesian inference and forecasting from these models are also considered. This article is categorized under:Statistical and Graphical Methods of Data Analysis > Bayesian Methods and TheoryStatistical Models > Time Series Models
- Subjects
POISSON processes; BAYESIAN analysis; TIME series analysis; AUTOREGRESSIVE models; BAYESIAN field theory; DYNAMIC models
- Publication
WIREs: Computational Statistics, 2022, Vol 14, Issue 6, p1
- ISSN
1939-5108
- Publication type
Article
- DOI
10.1002/wics.1559