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Penalised Complexity Priors for Stationary Autoregressive Processes

Permanent lenke
https://hdl.handle.net/10037/13016
DOI
https://doi.org/10.1111/jtsa.12242
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article.pdf (390.6Kb)
Accepted manuscript version (PDF)
Dato
2017-05-23
Type
Journal article
Tidsskriftartikkel
Peer reviewed

Forfatter
Sørbye, Sigrunn Holbek; Rue, Håvard
Sammendrag
The autoregressive (AR) process of order p(AR(p)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR(p) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior distribution, to ensure that it behaves according to the users' prior knowledge. In this article, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These prior have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time‐dependent frailty. For higher‐order processes, we propose a sequential approach, where the base model for AR(p) is the corresponding AR(p−1) model expressed using the partial autocorrelations. The properties of the new prior distribution are compared with the reference prior in a simulation study.
Beskrivelse
Accepted manuscript version. Published version available at https://doi.org/10.1111/jtsa.12242 .
Forlag
Wiley
Sitering
Sørbye, S.H. & Rue, H. (2017). Penalised Complexity Priors for Stationary Autoregressive Processes. Journal of Time Series Analysis. 38(6), 923-935. https://doi.org/10.1111/jtsa.12242
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