Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors

Alexander Dorndorf; Boris Kargoll; Jens-André Paffenholz; Hamza Alkhatib

doi:10.1007/1345_2023_210

Details

Original language	German
Title of host publication	International Association of Geodesy Symposia
Place of Publication	Berlin, Heidelberg
Pages	1-7
Number of pages	7
Publication status	E-pub ahead of print - 6 Sept 2023

Abstract

Geodetic measurements rely on high-resolution sensors, but produce data sets with many observations which may contain outliers and correlated deviations. This paper proposes a powerful solution using Bayesian inference. The observed data is modeled as a multivariate time series with a stationary autoregressive (VAR) process and multivariate t-distribution for white noise. Bayes’ theorem integrates prior knowledge. Parameters, including functional, VAR coefficients, scaling, and degree of freedom of the t-distribution, are estimated with Markov Chain Monte Carlo using a Metropolis-within-Gibbs algorithm.

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Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. / Dorndorf, Alexander; Kargoll, Boris; Paffenholz, Jens-André et al.
International Association of Geodesy Symposia. Berlin, Heidelberg, 2023. p. 1-7.

Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

Dorndorf, A, Kargoll, B, Paffenholz, J-A & Alkhatib, H 2023, Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. in International Association of Geodesy Symposia. Berlin, Heidelberg, pp. 1-7. https://doi.org/10.1007/1345_2023_210

Dorndorf, A., Kargoll, B., Paffenholz, J-A., & Alkhatib, H. (2023). Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. In International Association of Geodesy Symposia (pp. 1-7). Advance online publication. https://doi.org/10.1007/1345_2023_210

Dorndorf A, Kargoll B, Paffenholz J-A, Alkhatib H. Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. In International Association of Geodesy Symposia. Berlin, Heidelberg. 2023. p. 1-7 Epub 2023 Sept 6. doi: 10.1007/1345_2023_210

Dorndorf, Alexander ; Kargoll, Boris ; Paffenholz, Jens-André et al. / Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. International Association of Geodesy Symposia. Berlin, Heidelberg, 2023. pp. 1-7

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Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors

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