Littérature scientifique sur le sujet « Bayesian Structural Time Series Models »
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Articles de revues sur le sujet "Bayesian Structural Time Series Models"
Almarashi, Abdullah M., et Khushnoor Khan. « Bayesian Structural Time Series ». Nanoscience and Nanotechnology Letters 12, no 1 (1 janvier 2020) : 54–61. http://dx.doi.org/10.1166/nnl.2020.3083.
Texte intégralHall, Jamie, Michael K. Pitt et Robert Kohn. « Bayesian inference for nonlinear structural time series models ». Journal of Econometrics 179, no 2 (avril 2014) : 99–111. http://dx.doi.org/10.1016/j.jeconom.2013.10.016.
Texte intégralWang, Yi-Fu, et Tsai-Hung Fan. « A Bayesian analysis on time series structural equation models ». Journal of Statistical Planning and Inference 141, no 6 (juin 2011) : 2071–78. http://dx.doi.org/10.1016/j.jspi.2010.12.017.
Texte intégralBrodersen, Kay H., Fabian Gallusser, Jim Koehler, Nicolas Remy et Steven L. Scott. « Inferring causal impact using Bayesian structural time-series models ». Annals of Applied Statistics 9, no 1 (mars 2015) : 247–74. http://dx.doi.org/10.1214/14-aoas788.
Texte intégralKalinina, Irina A., et Aleksandr P. Gozhyj. « Modeling and forecasting of nonlinear nonstationary processes based on the Bayesian structural time series ». Applied Aspects of Information Technology 5, no 3 (25 octobre 2022) : 240–55. http://dx.doi.org/10.15276/aait.05.2022.17.
Texte intégralAL-Moders, Ali Hussein, et Tasnim H. Kadhim. « Bayesian Structural Time Series for Forecasting Oil Prices ». Ibn AL- Haitham Journal For Pure and Applied Sciences 34, no 2 (20 avril 2021) : 100–107. http://dx.doi.org/10.30526/34.2.2631.
Texte intégralChaturvedi, Anoop, et Jitendra Kumar. « Bayesian Unit Root Test for Time Series Models with Structural Breaks ». American Journal of Mathematical and Management Sciences 27, no 1-2 (janvier 2007) : 243–68. http://dx.doi.org/10.1080/01966324.2007.10737699.
Texte intégralFildes, Robert. « Forecasting, Structural Time Series Models and the Kalman Filter : Bayesian Forecasting and Dynamic Models ». Journal of the Operational Research Society 42, no 11 (novembre 1991) : 1031–33. http://dx.doi.org/10.1057/jors.1991.194.
Texte intégralKang, Jin-Su, Stephen Thomas Downing, Nabangshu Sinha et Yi-Chieh Chen. « Advancing Causal Inference : Differences-in-Differences vs. Bayesian Structural Time Series Models ». Academy of Management Proceedings 2021, no 1 (août 2021) : 15410. http://dx.doi.org/10.5465/ambpp.2021.15410abstract.
Texte intégralJeong, Chulwoo, et Jaehee Kim. « Bayesian multiple structural change-points estimation in time series models with genetic algorithm ». Journal of the Korean Statistical Society 42, no 4 (décembre 2013) : 459–68. http://dx.doi.org/10.1016/j.jkss.2013.02.001.
Texte intégralThèses sur le sujet "Bayesian Structural Time Series Models"
Murphy, James Kevin. « Hidden states, hidden structures : Bayesian learning in time series models ». Thesis, University of Cambridge, 2014. https://www.repository.cam.ac.uk/handle/1810/250355.
Texte intégralWigren, Richard, et Filip Cornell. « Marketing Mix Modelling : A comparative study of statistical models ». Thesis, Linköpings universitet, Institutionen för datavetenskap, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-160082.
Texte intégralRahier, Thibaud. « Réseaux Bayésiens pour fusion de données statiques et temporelles ». Thesis, Université Grenoble Alpes (ComUE), 2018. http://www.theses.fr/2018GREAM083/document.
Texte intégralPrediction and inference on temporal data is very frequently performed using timeseries data alone. We believe that these tasks could benefit from leveraging the contextual metadata associated to timeseries - such as location, type, etc. Conversely, tasks involving prediction and inference on metadata could benefit from information held within timeseries. However, there exists no standard way of jointly modeling both timeseries data and descriptive metadata. Moreover, metadata frequently contains highly correlated or redundant information, and may contain errors and missing values.We first consider the problem of learning the inherent probabilistic graphical structure of metadata as a Bayesian Network. This has two main benefits: (i) once structured as a graphical model, metadata is easier to use in order to improve tasks on temporal data and (ii) the learned model enables inference tasks on metadata alone, such as missing data imputation. However, Bayesian network structure learning is a tremendous mathematical challenge, that involves a NP-Hard optimization problem. We present a tailor-made structure learning algorithm, inspired from novel theoretical results, that exploits (quasi)-determinist dependencies that are typically present in descriptive metadata. This algorithm is tested on numerous benchmark datasets and some industrial metadatasets containing deterministic relationships. In both cases it proved to be significantly faster than state of the art, and even found more performant structures on industrial data. Moreover, learned Bayesian networks are consistently sparser and therefore more readable.We then focus on designing a model that includes both static (meta)data and dynamic data. Taking inspiration from state of the art probabilistic graphical models for temporal data (Dynamic Bayesian Networks) and from our previously described approach for metadata modeling, we present a general methodology to jointly model metadata and temporal data as a hybrid static-dynamic Bayesian network. We propose two main algorithms associated to this representation: (i) a learning algorithm, which while being optimized for industrial data, is still generalizable to any task of static and dynamic data fusion, and (ii) an inference algorithm, enabling both usual tasks on temporal or static data alone, and tasks using the two types of data.%We then provide results on diverse cross-field applications such as forecasting, metadata replenishment from timeseries and alarms dependency analysis using data from some of Schneider Electric’s challenging use-cases.Finally, we discuss some of the notions introduced during the thesis, including ways to measure the generalization performance of a Bayesian network by a score inspired from the cross-validation procedure from supervised machine learning. We also propose various extensions to the algorithms and theoretical results presented in the previous chapters, and formulate some research perspectives
Bracegirdle, C. I. « Inference in Bayesian time-series models ». Thesis, University College London (University of London), 2013. http://discovery.ucl.ac.uk/1383529/.
Texte intégralJohnson, Matthew James Ph D. Massachusetts Institute of Technology. « Bayesian time series models and scalable inference ». Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/89993.
Texte intégralCataloged from PDF version of thesis.
Includes bibliographical references (pages 197-206).
With large and growing datasets and complex models, there is an increasing need for scalable Bayesian inference. We describe two lines of work to address this need. In the first part, we develop new algorithms for inference in hierarchical Bayesian time series models based on the hidden Markov model (HMM), hidden semi-Markov model (HSMM), and their Bayesian nonparametric extensions. The HMM is ubiquitous in Bayesian time series models, and it and its Bayesian nonparametric extension, the hierarchical Dirichlet process hidden Markov model (HDP-HMM), have been applied in many settings. HSMMs and HDP-HSMMs extend these dynamical models to provide state-specific duration modeling, but at the cost of increased computational complexity for inference, limiting their general applicability. A challenge with all such models is scaling inference to large datasets. We address these challenges in several ways. First, we develop classes of duration models for which HSMM message passing complexity scales only linearly in the observation sequence length. Second, we apply the stochastic variational inference (SVI) framework to develop scalable inference for the HMM, HSMM, and their nonparametric extensions. Third, we build on these ideas to define a new Bayesian nonparametric model that can capture dynamics at multiple timescales while still allowing efficient and scalable inference. In the second part of this thesis, we develop a theoretical framework to analyze a special case of a highly parallelizable sampling strategy we refer to as Hogwild Gibbs sampling. Thorough empirical work has shown that Hogwild Gibbs sampling works very well for inference in large latent Dirichlet allocation models (LDA), but there is little theory to understand when it may be effective in general. By studying Hogwild Gibbs applied to sampling from Gaussian distributions we develop analytical results as well as a deeper understanding of its behavior, including its convergence and correctness in some regimes.
by Matthew James Johnson.
Ph. D.
Qiang, Fu. « Bayesian multivariate time series models for forecasting European macroeconomic series ». Thesis, University of Hull, 2000. http://hydra.hull.ac.uk/resources/hull:8068.
Texte intégralFernandes, Cristiano Augusto Coelho. « Non-Gaussian structural time series models ». Thesis, London School of Economics and Political Science (University of London), 1991. http://etheses.lse.ac.uk/1208/.
Texte intégralQueen, Catriona M. « Bayesian graphical forecasting models for business time series ». Thesis, University of Warwick, 1991. http://wrap.warwick.ac.uk/4321/.
Texte intégralPope, Kenneth James. « Time series analysis ». Thesis, University of Cambridge, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318445.
Texte intégralSurapaitoolkorn, Wantanee. « Bayesian inference for volatility models in financial time series ». Thesis, Imperial College London, 2006. http://hdl.handle.net/10044/1/1249.
Texte intégralLivres sur le sujet "Bayesian Structural Time Series Models"
Barber, David, A. Taylan Cemgil et Silvia Chiappa, dir. Bayesian Time Series Models. Cambridge : Cambridge University Press, 2009. http://dx.doi.org/10.1017/cbo9780511984679.
Texte intégralBarber, David. Bayesian time series models. Cambridge : Cambridge University Press, 2011.
Trouver le texte intégralC, Spall James, dir. Bayesian analysis of time series and dynamic models. New York : Dekker, 1988.
Trouver le texte intégralQueen, Catriona M. Bayesian graphical forecasting models for business time series. [s.l.] : typescript, 1991.
Trouver le texte intégralKoop, Gary. Bayesian long-run prediction in time series models. Kraków : Cracow Academy of Economics, 1992.
Trouver le texte intégralDas, Monidipa, et Soumya K. Ghosh. Enhanced Bayesian Network Models for Spatial Time Series Prediction. Cham : Springer International Publishing, 2020. http://dx.doi.org/10.1007/978-3-030-27749-9.
Texte intégralBarbosa, Emanuel Pimentel. Dynamic Bayesian models for vector time series analysis & forecasting. [s.l.] : typescript, 1989.
Trouver le texte intégral1948-, Palm Franz C., et Zellner Arnold, dir. The structural econometric time series analysis approach. Cambridge : Cambridge University Press, 2004.
Trouver le texte intégralHarvey, A. C. Forecasting, structural time series models and the Kalman filter. Cambridge : Cambridge University Press, 1989.
Trouver le texte intégralForecasting, structural time series models, and the Kalman filter. Cambridge : Cambridge University Press, 1990.
Trouver le texte intégralChapitres de livres sur le sujet "Bayesian Structural Time Series Models"
Aguilar, Omar. « Latent Structure Analyses of Turbulence Data Using Wavelets and Time Series Decompositions ». Dans Bayesian Inference in Wavelet-Based Models, 381–94. New York, NY : Springer New York, 1999. http://dx.doi.org/10.1007/978-1-4612-0567-8_23.
Texte intégralHooten, Mevin B., et Trevor J. Hefley. « Time Series Models ». Dans Bringing Bayesian Models to Life, 143–73. Boca Raton, FL : CRC Press, Taylor & Francis Group, 2019. : CRC Press, 2019. http://dx.doi.org/10.1201/9780429243653-16.
Texte intégralAbril, Juan Carlos. « Structural Time Series Models ». Dans International Encyclopedia of Statistical Science, 1555–58. Berlin, Heidelberg : Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-04898-2_577.
Texte intégralBerliner, L. Mark. « Hierarchical Bayesian Time Series Models ». Dans Maximum Entropy and Bayesian Methods, 15–22. Dordrecht : Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-011-5430-7_3.
Texte intégralBroemeling, Lyle D. « Basic Random Models ». Dans Bayesian Analysis of Time Series, 69–92. Boca Raton : CRC Press, Taylor & Francis Group, 2019. : Chapman and Hall/CRC, 2019. http://dx.doi.org/10.1201/9780429488443-4.
Texte intégralBroemeling, Lyle D. « Dynamic Linear Models ». Dans Bayesian Analysis of Time Series, 179–220. Boca Raton : CRC Press, Taylor & Francis Group, 2019. : Chapman and Hall/CRC, 2019. http://dx.doi.org/10.1201/9780429488443-8.
Texte intégralRavishanker, Nalini, Balaji Raman et Refik Soyer. « Bayesian Analysis ». Dans Dynamic Time Series Models using R-INLA, 1–16. Boca Raton : Chapman and Hall/CRC, 2022. http://dx.doi.org/10.1201/9781003134039-1.
Texte intégralHeld, Leonhard, et Daniel Sabanés Bové. « Markov Models for Time Series Analysis ». Dans Likelihood and Bayesian Inference, 315–42. Berlin, Heidelberg : Springer Berlin Heidelberg, 2020. http://dx.doi.org/10.1007/978-3-662-60792-3_10.
Texte intégralGómez, Víctor. « Multivariate Structural Models ». Dans Linear Time Series with MATLAB and OCTAVE, 245–62. Cham : Springer International Publishing, 2019. http://dx.doi.org/10.1007/978-3-030-20790-8_7.
Texte intégralWest, Mike, et Julia Mortera. « Bayesian Models and Methods for Binary Time Series ». Dans Probability and Bayesian Statistics, 487–95. Boston, MA : Springer US, 1987. http://dx.doi.org/10.1007/978-1-4613-1885-9_50.
Texte intégralActes de conférences sur le sujet "Bayesian Structural Time Series Models"
Kalinina, Irina, Peter Bidyuk et Aleksandr Gozhyj. « Construction of Forecast Models based on Bayesian Structural Time Series ». Dans 2022 IEEE 17th International Conference on Computer Sciences and Information Technologies (CSIT). IEEE, 2022. http://dx.doi.org/10.1109/csit56902.2022.10000484.
Texte intégralHuq, Armana, et Shahrin Islam. « A Bayesian Structural Time Series Model for Assessing Road Traffic Accidents during COVID-19 Period ». Dans The 6th International Conference on Civil, Structural and Transportation Engineering. Avestia Publishing, 2021. http://dx.doi.org/10.11159/iccste21.166.
Texte intégralHan, Jiyeon, Kyowoon Lee, Anh Tong et Jaesik Choi. « Confirmatory Bayesian Online Change Point Detection in the Covariance Structure of Gaussian Processes ». Dans Twenty-Eighth International Joint Conference on Artificial Intelligence {IJCAI-19}. California : International Joint Conferences on Artificial Intelligence Organization, 2019. http://dx.doi.org/10.24963/ijcai.2019/340.
Texte intégralHoernle, Nicholas, Kobi Gal, Barbara Grosz, Leilah Lyons, Ada Ren et Andee Rubin. « Interpretable Models for Understanding Immersive Simulations ». Dans Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. California : International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/321.
Texte intégralHOLLKAMP, J., et S. BATILL. « Time series models for nonlinear systems ». Dans 30th Structures, Structural Dynamics and Materials Conference. Reston, Virigina : American Institute of Aeronautics and Astronautics, 1989. http://dx.doi.org/10.2514/6.1989-1197.
Texte intégralShaffery, Peter, Rui Yang et Yingchen Zhang. « Bayesian Structural Time Series for Behind-the-Meter Photovoltaic Disaggregation ». Dans 2020 IEEE Power & Energy Society Innovative Smart Grid Technologies Conference (ISGT). IEEE, 2020. http://dx.doi.org/10.1109/isgt45199.2020.9087675.
Texte intégralREILLY, JACK, et BRANKO GLISIC. « Long Term Sensor Malfunction Detection and Data Regeneration using Autoregressive Time Series Models ». Dans Structural Health Monitoring 2017. Lancaster, PA : DEStech Publications, Inc., 2017. http://dx.doi.org/10.12783/shm2017/14211.
Texte intégralAMER, AHMAD, et FOTIS KOPSAFTOPOULOS. « Probabilistic Damage Quantification via the Integration of Non- parametric Time-Series and Gaussian Process Regression Models ». Dans Structural Health Monitoring 2019. Lancaster, PA : DEStech Publications, Inc., 2019. http://dx.doi.org/10.12783/shm2019/32379.
Texte intégralHOLLKAMP, J., et S. BATILL. « An experimental study of noise bias in discrete time series models ». Dans 30th Structures, Structural Dynamics and Materials Conference. Reston, Virigina : American Institute of Aeronautics and Astronautics, 1989. http://dx.doi.org/10.2514/6.1989-1193.
Texte intégralBATILL, S., et J. HOLLKAMP. « Parameter identification of discrete time series models for transient response prediction ». Dans 29th Structures, Structural Dynamics and Materials Conference. Reston, Virigina : American Institute of Aeronautics and Astronautics, 1988. http://dx.doi.org/10.2514/6.1988-2231.
Texte intégralRapports d'organisations sur le sujet "Bayesian Structural Time Series Models"
Mazzoni, Silvia, Nicholas Gregor, Linda Al Atik, Yousef Bozorgnia, David Welch et Gregory Deierlein. Probabilistic Seismic Hazard Analysis and Selecting and Scaling of Ground-Motion Records (PEER-CEA Project). Pacific Earthquake Engineering Research Center, University of California, Berkeley, CA, novembre 2020. http://dx.doi.org/10.55461/zjdn7385.
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