2023/03/15 by Zayd Omar, Omar, Zayd, David A. Stephens +5
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Applications (stat.AP) #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Forecasting Techniques and Applications #Methodology (stat.ME) #Statistical Distribution Estimation and Applications
paper · pdf · doi:10.48550/arxiv.2303.08735
openalex publication_date 2023/03/15 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a multivariate GARCH model for non-stationary health time series by modifying the variance of the observations of the standard state space model. The proposed model provides an intuitive way of dealing with heteroskedastic data using the conditional nature of state space models. We follow the Bayesian paradigm to perform the inference procedure. In particular, we use Markov chain Monte Carlo methods to obtain samples from the resultant posterior distribution. Due to the natural temporal correlation structure induced on model parameters, we use the forward filtering backward sampling algorithm to efficiently obtain samples from the posterior distribution. The proposed model also handles missing data in a fully Bayesian fashion. We validate our model on synthetic data, and then use it to analyze a data set obtained from an intensive care unit in a Montreal hospital. We further show that our proposed models offer better performance, in terms of WAIC, than standard state space models. The proposed model provides a new way to model multivariate heteroskedastic non-stationary time series data and the simplicity in applying the WAIC allows us to compare competing models.