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hal.structure.identifierAdvanced Learning Evolutionary Algorithms [ALEA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
dc.contributor.authorCARON, François
hal.structure.identifierDepartment of Statistics [Vancouver] [UBC Statistics]
dc.contributor.authorBORNN, Luke
hal.structure.identifierDepartment of Statistics [Oxford]
dc.contributor.authorDOUCET, Arnaud
dc.date.issued2012-02
dc.description.abstractEnSparsity-promoting priors have become increasingly popular over recent years due to an increased number of regression and classification applications involving a large number of predictors. In time series applications where observations are collected over time, it is often unrealistic to assume that the underlying sparsity pattern is fixed. We propose here an original class of flexible Bayesian linear models for dynamic sparsity modelling. The proposed class of models expands upon the existing Bayesian literature on sparse regression using generalized multivariate hyperbolic distributions. The properties of the models are explored through both analytic results and simulation studies. We demonstrate the model on a financial application where it is shown that it accurately represents the patterns seen in the analysis of stock and derivative data, and is able to detect major events by filtering an artificial portfolio of assets.
dc.language.isoen
dc.subject.engeneralized hyperbolic
dc.subject.enGaussian mixture models
dc.subject.ensparsity
dc.subject.endynamic regression
dc.subject.enparticle filters
dc.subject.enparticle MCMC
dc.title.enSparsity-Promoting Bayesian Dynamic Linear Models
dc.typeRapport
dc.subject.halStatistiques [stat]/Méthodologie [stat.ME]
dc.subject.halStatistiques [stat]/Machine Learning [stat.ML]
dc.subject.halStatistiques [stat]/Calcul [stat.CO]
dc.identifier.arxiv1203.0106
bordeaux.page23
bordeaux.type.institutionINRIA
bordeaux.type.reportrr
hal.identifierhal-00675274
hal.version1
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00675274v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2012-02&rft.spage=23&rft.epage=23&rft.au=CARON,%20Fran%C3%A7ois&BORNN,%20Luke&DOUCET,%20Arnaud&rft.genre=unknown


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