Spatial dynamic factor analysis

Bayesian Analysis

Volumn 3, Issue 4, 2008, Pages 759-792

  Lopes, Hedibert Freitas ^a   Salazar, Esther ^b   Gamerman, Dani ^b  

^a UNIVERSITY OF CHICAGO   (United States)

^b FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

Author keywords

Bayesian inference; Forecasting; Gaussian process; Random fields; Reversible jump Markov chain Monte Carlo; Spatial interpolation

Indexed keywords

EID: 70349947771     PISSN: 19360975     EISSN: 19316690     Source Type: Journal    
DOI: 10.1214/08-BA329     Document Type: Article

References (53)

1. Akaike, H. (1974). "New look at the statistical model identification." IEEE Transactions in Automatic Control, AC-19: 716-723. 770
2. Bai, J. (2003). "Inferential theory for factor models of large dimensions." Econometrica, 71: 135-71. 762
3. Banerjee, S., Carlin, B. P., and Gelfand, A. E. (2004). Hierarchical Modeling and Analysis for Spatial Data.. CRC Press/Chapman & Hall. 759, 766
4. Berger, J. O., De Oliveira, V., and Sansó, B. (2001). "Objective Bayesian analysis of spatially correlated data." Journal of the American Statistical Association, 96: 1361-1374. 766, 775
5. Box, G. E. P. and Tiao, G. C. (1973). Bayesian Inference in Statistical Analysis. Massachusetts: Addison-Wesley. 783
6. Brown, P. J., Vannucci, M., and Fearn, T. (1998). "Multivariate Bayesian variable selection and prediction." Journal of the Royal Statistical Society, Series B, 60: 627- 41. 765
7. Calder, C. (2007). "Dynamic factor process convolution models for multivariate spacetime data with application to air quality assessment." Environmental and Ecological Statistics, 14: 229-47. 761, 762, 764, 773
8. Carter, C. K. and Kohn, R. (1994). "On Gibbs sampling for state space models." Biometrika, 81: 541-553. 768, 784
9. Carvalho, C. M., Chang, J., Lucas, J., Wang, Q., Nevins, J., and West, M. (2008). "High-dimensional sparse factor modelling Applications in gene expression genomics." Journal of the American Statistical Association (to appear). 763
10. Christensen, W. and Amemiya, Y. (2002). "Latent variable analysis of multivariate spatial data." Journal of the American Statistical Association, 97(457): 302-317. 760
11. Christensen, W. and Amemiya, Y. (2003). "Modeling and prediction for multivariate spatial factor analysis." Journal of Statistical Planning and Inference, 115: 543-564. 760
12. Clyde, M. (1999). "Bayesian model averaging and model search strategies." In Bernardo, J. M., Berger, J. O., Dawid, A. P., and Smith, A. F. M. (eds.), Bayesian Statistics 6, 157-85. London: Oxford University Press. 768
13. Cressie, N. (1993). Statistics for Spatial Data. New York: Wiley. 762
14. Cressie, N. and Huang, H. (1999). "Classes of Nonseparable, Spatio-Temporal Stationary Covariance Functions." Journal of the American Statistical Association, 94(448): 1330-1340. 764
15. Dawid, A. P. (1981). "Some matrix-variate distribution theory: Notational considerations and a Bayesian application." Biometrika, 68: 265-274. 765
16. Dellaportas, P., Forster, J., and Ntzoufras, I. (2002). "On Bayesian model and variable selection using MCMC." Statistics and Computing, 12: 27-36. 769
17. Forni, M., Hallin, M., Lippi, M., and Reichlin, L. (2000). "The Generalized dynamicfactor model: identification and estimation." Review of Economics and Statistics, 82: 540-54. 762
18. Frühwirth-Schnatter, S. (1994). "Data augmentation and dynamic linear models." Journal of Time Series Analysis, 15(2): 183-202. 768, 784
19. Gamerman, D. and Lopes, H. F. (2006). Markov Chain Monte Carlo Stochastic Simulation for Bayesian Inference. Chapman&Hall/CRC, 2nd edition. 759
20. Gamerman, D., Moreira, A. R. B., and Rue, H. (2003). "Space-varying regression models: specifications and simulation." Computational Statistics and Data Analysis, 42: 513-33. 761
21. Gamerman, D., Salazar, E., and Reis, E. (2007). "Dynamic Gaussian process priors, with applications to the analysis of space-time data (with discussion)." In Bernardo, J. M., Berger, J. O., Dawid, A. P., and Smith, A. F. M. (eds.), Bayesian Statistics 8. London: Oxford University Press. (in press). 783
22. Gelfand, A. E., Kottas, A., and MacEachern, S. N. (2005). "Bayesian Nonparametric Spatial Modeling With Dirichlet Process Mixing." Journal of the American Statistical Association, 100: 1021-35. 762
23. George, E. I. and McCulloch, R. E. (1992). "Variable selection via Gibbs sampling." Journal of the American Statistical Association, 79: 677-83. 769
24. Gneiting, T. (2002). "Nonseparable, Stationary Covariance Functions for Space-Time Data." Journal of the American Statistical Association, 97(458): 590-600. 764
25. Gneiting, T., Balabdaoui, F., and Raftery, A. E. (2007). "Probabilistic forecasts, calibration and sharpness." Journal of the Royal Statistical Society, Series B, 69(2): 243-268. 777
26. Godsill, S. (2001). "On the relationship between Markov chain Monte Carlo methods for model uncertainty." Journal of Computational and Graphical Statistics, 10: 1-19. 769
27. Gschlößl, S. and Czado, C. (2005). "Spatial modelling of claim frequency and claim size in insurance." Discussion Paper 461, Ludwig-Maximilians-Universität München, Munich. 777
28. Hogan, J. W. and Tchernis, R. (2004). "Bayesian factor analysis for spatially correlated data, with application to summarizing area-Level material deprivation from census data." Journal of the American Statistical Association, 99: 314-324. 760
29. Lasinio, G. J., Sahu, S. K., and Mardia, K. V. (2005). "Modeling rainfall data using a Bayesian kriged-Kalman model." Technical report, School of Mathematics, University of Southampton. 762
30. Lopes, H. F. (2000). "Bayesian Analysis in Latent Factor and Longitudinal Models." Unpublished PhD. Thesis, Institute of Statistics and Decision Sciences, Duke University. 783
31. Lopes, H. F. (2003). "Expected Posterior Priors in Factor Analysis." Brazilian Journal of Probability and Statistics, 17: 91-105. 762
32. Lopes, H. F. and Carvalho, C. M. (2007). "Factor stochastic volatility with time varying loadings and Markov switching regimes." Journal of Statistical Planning and Inference, 137: 3082-3091. 762, 763, 766, 783
33. Lopes, H. F. and Migon, H. S. (2002). "Comovements and Contagion in Emergent Markets: Stock Indexes Volatilities." In Gatsonis, C., Kass, R., Carriquiry, A., Gelman, A., Verdinelli, Pauler, D., and Higdon, D. (eds.), Case Studies in Bayesian Statistics, Volume 6, 287-302. 762, 763
34. Lopes, H. F. and West, M. (2004). "Bayesian model assessment in factor analysis." Statistica Sinica, 14: 41-67. 759, 762, 768
35. Mardia, K. V., Goodall, C. R., Redfern, E., and Alonso, F. J. (1998). "The kriged Kalman filter (with discussion)." Test, 7: 217-85. 761, 762
36. Nobre, A. A., Schmidt, A. M., and Lopes, H. F. (2005). "Spatio-temporal models for mapping the incidence of malaria in Pará." Environmetrics, 16: 291-304. 761
37. Peña, D. and Poncela, P. (2004). "Forecasting with nonstationary dynamic factor models." Journal of Econometrics, 119: 291-321. 760, 766
38. Peña, D. and Poncela, P. (2006). "Nonstationary dynamic factor analysis." Journal of Statistical Planning and Inference, 136: 1237-1257. 766
39. Raftery, A. E., Madigan, D., and Hoeting, J. A. (1997). "Bayesian model averaging for linear regression models." Journal of the American Statistical Association, 92: 179-91. 768
40. Reich, B. J., Fuentes, M., and Burke, J. (2008). "Analysis of the effects of ultrafine particulate matter while accounting for human exposure." Technical report, Department of Statistics, North Carolina State University. 762
41. Rencher, A. C. (2002). Methods of Multivariate Analysis. New York: Wiley, 2nd edition. 779
42. Robert, C. R. and Casella, G. (2004). Monte Carlo Statistical Methods. New York: Springer. 759
43. Sahu, S. K. and Mardia, K. V. (2005). "A Bayesian kriged-Kalman model for short-term forecasting of air pollution levels." Applied Statistics, 54: 223-44. 762
44. Salazar, E. (2008). "Dynamic Factor Models with Spatially Structured Loadings." Unpublished PhD. Thesis (in portuguese), Institute of Mathematics, Federal University of Rio de Janeiro. 771
45. Sansó, B., Schmidt, A. M., and Nobre, A. A. (2008). "Bayesian Spatio-temporal models based on discrete convolutions." Canadian Journal of Statistics, 36: 239-58. 762, 764
46. Schmidt, A. M. and Gelfand, A. (2003). "A Bayesian Coregionalization Model for Multivariate Pollutant Data." Journal of Geophysics Research, 108 (D24): Available at http://www.agu.org/pubs/crossref/2003/2002JD002905.shtml. 766
47. Schwarz, G. (1978). "Estimating the dimension of a model." Annals of Statistics, 6: 461-464. 770
48. Stein, M. L. (1999). Statistical Interpolation of Spatial Data: Some Theory for Kriging. New York: Springer. 762
49. Stroud, R., Müller, P., and Sansó, B. (2001). "Dynamic Models for Spatiotemporal Data." Journal of the Royal Statistical Society, Series B, 63(4): 673-689. 764
50. Wang, F. and Wall, M. M. (2003). "Generalized common spatial factor model." Biostatistics, 4: 569-582. 759
51. West, M. (2003). "Bayesian factor regression models in the "large p, small n" paradigm." In Bernardo, J. M., Bayarri, M. J., Berger, J. O., Dawid, A. P., Heckerman, D., Smith, A. F. M., and West, M. (eds.), Bayesian Statistics 7, 723-732. London: Oxford University Press. 763
52. West, M. and Harrison, P. J. (1997). Bayesian Forecasting and Dynamic Model. New York: Springer-Verlag. 764
53. Wikle, C. K. and Cressie, N. (1999). "A dimension-reduced approach to space-time Kalman filtering." Biometrika, 86: 815-829. 761, 762, 764