Generalized Dynamic Factor Models for Mixed-Measurement Time Series.

Published

Journal Article

In this article, we propose generalized Bayesian dynamic factor models for jointly modeling mixed-measurement time series. The framework allows mixed-scale measurements associated with each time series, with different measurements having different distributions in the exponential family conditionally on time-varying latent factor(s). Efficient Bayesian computational algorithms are developed for posterior inference on both the latent factors and model parameters, based on a Metropolis Hastings algorithm with adaptive proposals. The algorithm relies on a Greedy Density Kernel Approximation (GDKA) and parameter expansion with latent factor normalization. We tested the framework and algorithms in simulated studies and applied them to the analysis of intertwined credit and recovery risk for Moody's rated firms from 1982-2008, illustrating the importance of jointly modeling mixed-measurement time series. The article has supplemental materials available online.

Full Text

Duke Authors

Cited Authors

  • Cui, K; Dunson, DB

Published Date

  • February 2014

Published In

Volume / Issue

  • 23 / 1

Start / End Page

  • 169 - 191

PubMed ID

  • 24791133

Pubmed Central ID

  • 24791133

Electronic International Standard Serial Number (EISSN)

  • 1537-2715

International Standard Serial Number (ISSN)

  • 1061-8600

Digital Object Identifier (DOI)

  • 10.1080/10618600.2012.729986

Language

  • eng