| Bayesian estimation of semiparametric nonlinear dynamic factor analysis models using the Dirichlet process prior. | |
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MedLine Citation:
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PMID: 21506946 Owner: NLM Status: MEDLINE |
Abstract/OtherAbstract:
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Parameters in time series and other dynamic models often show complex range restrictions and their distributions may deviate substantially from multivariate normal or other standard parametric distributions. We use the truncated Dirichlet process (DP) as a non-parametric prior for such dynamic parameters in a novel nonlinear Bayesian dynamic factor analysis model. This is equivalent to specifying the prior distribution to be a mixture distribution composed of an unknown number of discrete point masses (or clusters). The stick-breaking prior and the blocked Gibbs sampler are used to enable efficient simulation of posterior samples. Using a series of empirical and simulation examples, we illustrate the flexibility of the proposed approach in approximating distributions of very diverse shapes. |
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Authors:
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Sy-Miin Chow; Niansheng Tang; Ying Yuan; Xinyuan Song; Hongtu Zhu |
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Publication Detail:
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Type: Journal Article; Research Support, N.I.H., Extramural; Research Support, Non-U.S. Gov't; Research Support, U.S. Gov't, Non-P.H.S. |
Journal Detail:
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Title: The British journal of mathematical and statistical psychology Volume: 64 ISSN: 0007-1102 ISO Abbreviation: Br J Math Stat Psychol Publication Date: 2011 Feb |
Date Detail:
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Created Date: 2011-04-21 Completed Date: 2011-06-21 Revised Date: 2012-10-09 |
Medline Journal Info:
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Nlm Unique ID: 0004047 Medline TA: Br J Math Stat Psychol Country: England |
Other Details:
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Languages: eng Pagination: 69-106 Citation Subset: IM |
Affiliation:
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University of North Carolina, Chapel Hill, NC 27599-3270, USA.symiin@email.unc.edu |
Export Citation:
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| MeSH Terms | |
Descriptor/Qualifier:
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Affect Bayes Theorem* Factor Analysis, Statistical* Female Humans Individuality Infant, Newborn Male Nonlinear Dynamics* Probability Psychology / statistics & numerical data* Psychometrics / statistics & numerical data Statistics, Nonparametric Stochastic Processes* Young Adult |
| Grant Support | |
ID/Acronym/Agency:
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AG033387/AG/NIA NIH HHS; MH086633/MH/NIMH NIH HHS; P01 CA142538-01/CA/NCI NIH HHS; P01 CA142538-02/CA/NCI NIH HHS; P01 CA142538-03/CA/NCI NIH HHS; P01CA142538-01/CA/NCI NIH HHS; R01 MH086633-01A1/MH/NIMH NIH HHS; R01 MH086633-02/MH/NIMH NIH HHS; R01 MH086633-03/MH/NIMH NIH HHS; R21 AG033387-01A1/AG/NIA NIH HHS; R21 AG033387-02/AG/NIA NIH HHS; UL1-RR025747-01/RR/NCRR NIH HHS |
From MEDLINE®/PubMed®, a database of the U.S. National Library of Medicine
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