A Bayesian Nonparametric Markovian Model for Nonstationary Time Series

Stationary time series models built from parametric distributions are, in general, limited in scope due to the assumptions imposed on the residual distribution and autoregression relationship. We present a modeling approach for univariate time series data, which makes no assumptions of stationarity, and can accommodate complex dynamics and capture nonstandard distributions. The model for the transition density arises from the conditional distribution implied by a Bayesian nonparametric mixture of bivariate normals. This implies a flexible autoregressive form for the conditional transition density, defining a time-homogeneous, nonstationary, Markovian model for real-valued data indexed in discrete-time. To obtain a more computationally tractable algorithm for posterior inference, we utilize a square-root-free Cholesky decomposition of the mixture kernel covariance matrix. Results from simulated data suggest the model is able to recover challenging transition and predictive densities. We also illustrate the model on time intervals between eruptions of the Old Faithful geyser. Extensions to accommodate higher order structure and to develop a state-space model are also discussed

A Fully Nonparametric Modelling Approach to Binary Regression

We propose a general nonparametric Bayesian framework for binary regression, which is built from modeling for the joint response-covariate distribution. The observed binary responses are assumed to arise from underlying continuous random variables through discretization, and we model the joint distribution of these latent responses and the covariates using a Dirichlet process mixture of multivariate normals. We show that the kernel of the induced mixture model for the observed data is identifiable upon a restriction on the latent variables. To allow for appropriate dependence structure while facilitating identifiability, we use a square-root-free Cholesky decomposition of the covariance matrix in the normal mixture kernel. In addition to allowing for the necessary restriction, this modeling strategy provides substantial simplifications in implementation of Markov chain Monte Carlo posterior simulation. We present two data examples taken from areas for which the methodology is especially well suited. In particular, the first example involves estimation of relationships between environmental variables, and the second develops inference for natural selection surfaces in evolutionary biology. Finally, we discuss extensions to regression settings with multivariate ordinal responses

Bayesian spectral modeling for multiple time series

We develop a novel Bayesian modeling approach to spectral density estimation for multiple time series. The log-periodogram distribution for each series is modeled as a mixture of Gaussian distributions with frequency-dependent weights and mean functions. The implied model for the log-spectral density is a mixture of linear mean functions with frequency-dependent weights. The mixture weights are built through successive differences of a logit-normal distribution function with frequency-dependent parameters. Building from the construction for a single spectral density, we develop a hierarchical extension for multiple time series. Specifically, we set the mean functions to be common to all spectral densities and make the weights specific to the time series through the parameters of the logit-normal distribution. In addition to accommodating flexible spectral density shapes, a practically important feature of the proposed formulation is that it allows for ready posterior simulation through a Gibbs sampler with closed form full conditional distributions for all model parameters. The modeling approach is illustrated with simulated datasets, and used for spectral analysis of multichannel electroencephalographic recordings (EEGs), which provides a key motivating application for the proposed methodology

Modeling for seasonal marked point processes: An analysis of evolving hurricane occurrences

Seasonal point processes refer to stochastic models for random events which are only observed in a given season. We develop nonparametric Bayesian methodology to study the dynamic evolution of a seasonal marked point process intensity. We assume the point process is a nonhomogeneous Poisson process and propose a nonparametric mixture of beta densities to model dynamically evolving temporal Poisson process intensities. Dependence structure is built through a dependent Dirichlet process prior for the seasonally-varying mixing distributions. We extend the nonparametric model to incorporate time-varying marks, resulting in flexible inference for both the seasonal point process intensity and for the conditional mark distribution. The motivating application involves the analysis of hurricane landfalls with reported damages along the U.S. Gulf and Atlantic coasts from 1900 to 2010. We focus on studying the evolution of the intensity of the process of hurricane landfall occurrences, and the respective maximum wind speed and associated damages. Our results indicate an increase in the number of hurricane landfall occurrences and a decrease in the median maximum wind speed at the peak of the season. Introducing standardized damage as a mark, such that reported damages are comparable both in time and space, we find that there is no significant rising trend in hurricane damages over time.Comment: Published at http://dx.doi.org/10.1214/14-AOAS796 in the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

USAF Pilot Perceptions of Workload Assessment in a Combat or High-Threat Environment

This study analyzed the self-reported survey responses of 219 Air Force Pilots concerning their perceptions of workload assessment in a combat or a high threat environment. The first objective of this study was to determine and compare the combat workload factors of varying importance in combat workload assessment by aircraft and mission type flown. The second objective was to examine the pilots\u27 perception of combat mission inflight workload. A stepwise regression model to predict the pilots\u27 perceptions of inflight workload using pilots\u27 characteristics data was explored. Research conclusion varied among aircraft types. Combat workload items indicated as distractingly important were similar for all aircraft types, while items in lower level of importance were impacted by aircraft type. Mean Combat Workload (CWL) scores of pilots from each aircraft type were not significantly different. Overall, it was concluded that surveying pilots who had flown in combat or high threat environments provided useful responses to assess pilot workload; however, findings based on subjective assessments, provide tentative grounds for further research

The Neutron Star Mass Distribution

In recent years, the number of pulsars with secure mass measurements has increased to a level that allows us to probe the underlying neutron star (NS) mass distribution in detail. We critically review the radio pulsar mass measurements. For the first time, we are able to analyze a sizable population of NSs with a flexible modeling approach that can effectively accommodate a skewed underlying distribution and asymmetric measurement errors. We find that NSs that have evolved through different evolutionary paths reflect distinctive signatures through dissimilar distribution peak and mass cutoff values. NSs in double neutron star and neutron star-white dwarf systems show consistent respective peaks at 1.33 Msun and 1.55 Msun suggesting significant mass accretion (delta m~0.22 Msun) has occurred during the spin-up phase. The width of the mass distribution implied by double NS systems is indicative of a tight initial mass function while the inferred mass range is significantly wider for NSs that have gone through recycling. We find a mass cutoff at ~2.1 Msun for NSs with white dwarf companions which establishes a firm lower bound for the maximum NS mass. This rules out the majority of strange quark and soft equation of state models as viable configurations for NS matter. The lack of truncation close to the maximum mass cutoff along with the skewed nature of the inferred mass distribution both enforce the suggestion that the 2.1 Msun limit is set by evolutionary constraints rather than nuclear physics or general relativity, and the existence of rare super-massive NSs is possible.Comment: 13 pages, 4 figures, 2 tables. ApJ in press. A completely new and more flexible statistical model applied. Astrophysical results remained same as arXiv:1011.429