Seminar Details

Seminar Details


Friday

Apr 15

3:30 pm

A Bayesian Multivariate Functional Dynamic Linear Model

David Matteson

Faculty host Johannes Lederer
Seminar

Cornell University

We present a Bayesian approach for modeling multivariate, dependent functional data. To account for the three dominant structural features in the data--functional, time dependent, and multivariate components--we extend hierarchical dynamic linear models for multivariate time series to the functional data setting. We also develop Bayesian spline theory in a more general constrained optimization framework. The proposed methods identify a time-invariant functional basis for the functional observations, which is smooth and interpretable, and can be made common across multivariate observations for additional information sharing. Sampling from the posterior distribution is accomplished with an efficient Gibbs sampling algorithm. We illustrate the proposed framework with two applications: (1) multi-economy yield curve data from the recent global recession, and (2) local field potential brain signals in rats, for which we develop a multivariate functional time series approach for multivariate time-frequency analysis. This talk is based on joint work with Daniel R. Kowal and David Ruppert. Our manuscript is available online (http://www.tandfonline.com/eprint/N9Kfnewy65VSHz7rYksn/full), and R code and the multi-economy yield curve data are available upon request.