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

Research output: Chapter in book/report/conference proceedingContribution to book/anthologyResearchpeer review

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Research Organisations

External Research Organisations

  • Clausthal University of Technology
  • Anhalt University of Applied Sciences
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Details

Original languageEnglish
Title of host publicationX Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022
EditorsJeffrey T. Freymueller, Laura Sánchez
Place of PublicationBerlin, Heidelberg
Pages93-99
Number of pages7
Publication statusPublished - 2024

Publication series

NameInternational Association of Geodesy Symposia
Volume155
ISSN (Print)0939-9585
ISSN (electronic)2197-9359

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.

Keywords

    Metropolis-within-Gibbs algorithm, Robust Bayesian time series analysis, VAR process, t-distribution

ASJC Scopus subject areas

Cite this

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.
X Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022. ed. / Jeffrey T. Freymueller; Laura Sánchez. Berlin, Heidelberg, 2024. p. 93-99 (International Association of Geodesy Symposia; Vol. 155).

Research output: Chapter in book/report/conference proceedingContribution to book/anthologyResearchpeer review

Dorndorf, A, Kargoll, B, Paffenholz, J-A & Alkhatib, H 2024, Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. in JT Freymueller & L Sánchez (eds), X Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022. International Association of Geodesy Symposia, vol. 155, Berlin, Heidelberg, pp. 93-99. https://doi.org/10.1007/1345_2023_210
Dorndorf, A., Kargoll, B., Paffenholz, J.-A., & Alkhatib, H. (2024). Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. In J. T. Freymueller, & L. Sánchez (Eds.), X Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022 (pp. 93-99). (International Association of Geodesy Symposia; Vol. 155).. https://doi.org/10.1007/1345_2023_210
Dorndorf A, Kargoll B, Paffenholz JA, Alkhatib H. Bayesian Robust Multivariate Time Series Analysis in Nonlinear Regression Models with Vector Autoregressive and t-Distributed Errors. In Freymueller JT, Sánchez L, editors, X Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022. Berlin, Heidelberg. 2024. p. 93-99. (International Association of Geodesy Symposia). 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. X Hotine-Marussi Symposium on Mathematical Geodesy - Proceedings of the Symposium, 2022. editor / Jeffrey T. Freymueller ; Laura Sánchez. Berlin, Heidelberg, 2024. pp. 93-99 (International Association of Geodesy Symposia).
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