Time-clustering and forecasting performance in semi-parametric INAR(1) models

• Grant number: 17/22914-5
• Support type: Scholarships abroad - Research Internship - Doctorate
• Effective date (Start): May 01, 2018
• Effective date (End): April 30, 2019
• Field of knowledge: Physical Sciences and Mathematics - Probability and Statistics - Statistics
• Principal researcher: Hedibert Freitas Lopes
• Grantee: Helton Graziadei de Carvalho
• Supervisor abroad: Igor Pruenster
• Home Institution: Instituto de Matemática e Estatística (IME). Universidade de São Paulo (USP). São Paulo , SP, Brazil
• Research place: Università Commerciale Luigi Bocconi, Italy
• Associated to the scholarship: 17/10096-6 - Bayesian semiparametric analysis of autoregressive models, BP.DR

Abstract

In this project, we propose extensions of the INAR(1) model by using nonparametric priors on the time-varying innovations distributions. We first investigate clustering aspects and the predictive performance of the Dirichlet Process Mixture (DPM) model. In order to overcome limitations of the DPMs, we introduce more general non-parametric priors based on Pitman-Yor Processes and Gibbs-Type Measures. These generalizations facilitate the estimation of the posterior distribution of clusters and may improve predictive performance in a wide range of applications. Moreover, we explore the predictive performance of the proposed models in overdispersed datasets. (AU)

Scientific publications

(References retrieved automatically from Web of Science and SciELO through information on FAPESP grants and their corresponding numbers as mentioned in the publications by the authors)

C. MARQUES F., PAULO; GRAZIADEI, HELTON; LOPES, HEDIBERT F. Bayesian generalizations of the integer-valued autoregressive model. Journal of Applied Statistics, AUG 2020. Web of Science Citations: 0.

GRAZIADEI, HELTON; LIJOI, ANTONIO; LOPES, HEDIBERT F.; MARQUES F, PAULO C.; PRUENSTER, IGOR. Prior Sensitivity Analysis in a Semi-Parametric Integer-Valued Time Series Model. Entropy, v. 22, n. 1 JAN 2020. Web of Science Citations: 1.