8,346 research outputs found
Seasonality in Dynamic Stochastic Block Models
Sociotechnological and geospatial processes exhibit time varying structure
that make insight discovery challenging. This paper proposes a new statistical
model for such systems, modeled as dynamic networks, to address this challenge.
It assumes that vertices fall into one of k types and that the probability of
edge formation at a particular time depends on the types of the incident nodes
and the current time. The time dependencies are driven by unique seasonal
processes, which many systems exhibit (e.g., predictable spikes in geospatial
or web traffic each day). The paper defines the model as a generative process
and an inference procedure to recover the seasonal processes from data when
they are unknown. Evaluation with synthetic dynamic networks show the recovery
of the latent seasonal processes that drive its formation.Comment: 4 page worksho
A semiparametric factor model for electricity forward curve dynamics
In this paper we introduce the dynamic semiparametric factor model (DSFM) for electricity forward curves. The biggest advantage of our approach is that it not only leads to smooth, seasonal forward curves extracted from exchange traded futures and forward electricity contracts, but also to a parsimonious factor representation of the curve. Using closing prices from the Nordic power market Nord Pool we provide empirical evidence that the DSFM is an efficient tool for approximating forward curve dynamics.power market, forward electricity curve, dynamic semiparametric factor model
Bayesian stochastic model specification search for seasonal and calendar effects
We apply a recent methodology, Bayesian stochastic model specification search (SMSS), for the selection of the unobserved components (level, slope, seasonal cycles, trading days effects) that are stochastically evolving over time. SMSS hinges on two basic ingredients: the non-centered representation of the unobserved components and the reparameterization of the hyperparameters representing standard deviations as regression parameters with unrestricted support. The choice of the prior and the conditional independence structure of the model enable the definition of a very efficient MCMC estimation strategy based on Gibbs sampling. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and deterministic trends, fixed and evolutive seasonal and trading day effects.Seasonality; Structural time series models; Variable selection.
Predicting unobserved exposures from seasonal epidemic data
We consider a stochastic Susceptible-Exposed-Infected-Recovered (SEIR)
epidemiological model with a contact rate that fluctuates seasonally. Through
the use of a nonlinear, stochastic projection, we are able to analytically
determine the lower dimensional manifold on which the deterministic and
stochastic dynamics correctly interact. Our method produces a low dimensional
stochastic model that captures the same timing of disease outbreak and the same
amplitude and phase of recurrent behavior seen in the high dimensional model.
Given seasonal epidemic data consisting of the number of infectious
individuals, our method enables a data-based model prediction of the number of
unobserved exposed individuals over very long times.Comment: 24 pages, 6 figures; Final version in Bulletin of Mathematical
Biolog
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