| Full text | |
| Author(s): |
Graziadei, Helton
[1]
;
Lijoi, Antonio
[2, 3]
;
Lopes, Hedibert F.
[4]
;
Marques F, Paulo C.
[4]
;
Pruenster, Igor
[2, 3]
Total Authors: 5
|
| Affiliation: | [1] Univ Sao Paulo, Inst Matemat & Estat, BR-05508090 Sao Paulo - Brazil
[2] Bocconi Univ, Dept Decis Sci, Via Rontgen 1, I-20136 Milan - Italy
[3] Bocconi Univ, BIDSA, Via Rontgen 1, I-20136 Milan - Italy
[4] Insper Inst Educ & Res, Rua Quata 300, BR-04546042 Sao Paulo - Brazil
Total Affiliations: 4
|
| Document type: | Journal article |
| Source: | Entropy; v. 22, n. 1 JAN 2020. |
| Web of Science Citations: | 1 |
| Abstract | |
We examine issues of prior sensitivity in a semi-parametric hierarchical extension of the INAR(p) model with innovation rates clustered according to a Pitman-Yor process placed at the top of the model hierarchy. Our main finding is a graphical criterion that guides the specification of the hyperparameters of the Pitman-Yor process base measure. We show how the discount and concentration parameters interact with the chosen base measure to yield a gain in terms of the robustness of the inferential results. The forecasting performance of the model is exemplified in the analysis of a time series of worldwide earthquake events, for which the new model outperforms the original INAR(p) model. (AU) | |
| FAPESP's process: | 17/10096-6 - Bayesian semiparametric analysis of autoregressive models |
| Grantee: | Helton Graziadei de Carvalho |
| Support Opportunities: | Scholarships in Brazil - Doctorate |
| FAPESP's process: | 17/22914-5 - Time-clustering and forecasting performance in semi-parametric INAR(1) models |
| Grantee: | Helton Graziadei de Carvalho |
| Support Opportunities: | Scholarships abroad - Research Internship - Doctorate |