The paper addresses the issue of forecasting a large set of variables using multivariate models. In particular, we propose three alternative reduced rank forecasting models and compare their predictive performance for US time series with the most promising existing alternatives, namely, factor model
Bayesian modeling for large spatial datasets
β Scribed by Sudipto Banerjee; Montserrat Fuentes
- Publisher
- Wiley (John Wiley & Sons)
- Year
- 2011
- Tongue
- English
- Weight
- 326 KB
- Volume
- 4
- Category
- Article
- ISSN
- 0163-1829
- DOI
- 10.1002/wics.187
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β¦ Synopsis
Abstract
We focus upon flexible Bayesian hierarchical models for scientific data available at geoβcoded locations. Investigators are increasingly turning to spatial process models to analyze such datasets. These models are customarily estimated using Markov Chain Monte Carlo (MCMC) methods, which have become especially popular for spatial modeling, given their flexibility and power to fit models that would be infeasible otherwise. However, estimating Bayesian spatial process models is undermined by prohibitive computational expenses associated with parameter estimation. Classes of lowβrank spatial process models are increasingly being deployed to resolve this problem by projecting spatial effects to a lowerβdimensional subspace. We discuss how a lowβrank process called the βpredictive processβ seamlessly enters the hierarchical modeling framework and helps us accrue substantial computational benefits. WIREs Comp Stat 2012, 4:59β66. doi: 10.1002/wics.187
This article is categorized under:
Statistical and Graphical Methods of Data Analysis > Bayesian Methods and Theory
Data: Types and Structure > Image and Spatial Data
Statistical and Graphical Methods of Data Analysis > Markov Chain Monte Carlo (MCMC)
Data: Types and Structure > Image and Spatial Data
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