Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.

Reversible jump sampler for autoregressive time series

We use reversible jump Markov chain Monte Carlo (MCMC) methods to address the problem of model order uncertainty in autoregressive (AR) time series within a Bayesian framework. Efficient model jumping is achieved by proposing model space moves from the full conditional density for the AR parameters, which is obtained analytically. This is compared with an alternative method, for which the moves are cheaper to compute, in which proposals are made only for new parameters in each move. Results are presented for both synthetic and audio time series.

Linear gaussian computations for near-exact Bayesian Monte Carlo inference in skewed alpha-stable time series models

In this paper we study parameter estimation for time series with asymmetric α-stable innovations. The proposed methods use a Poisson sum series representation (PSSR) for the asymmetric α-stable noise to express the process in a conditionally Gaussian framework. That allows us to implement Bayesian parameter estimation using Markov chain Monte Carlo (MCMC) methods. We further enhance the series representation by introducing a novel approximation of the series residual terms in which we are able to characterise the mean and variance of the approximation. Simulations illustrate the proposed framework applied to linear time series, estimating the model parameter values and model order P for an autoregressive (AR(P)) model driven by asymmetric α-stable innovations. © 2012 IEEE.

An analytical model for guided wave inspection optimization for prismatic structures of any cross section.

This paper presents an analytical modeling technique for the simulation of long-range ultrasonic guided waves in structures. The model may be used to predict the displacement field in a prismatic structure arising from any excitation arrangement and may therefore be used as a tool to design new inspection systems. It is computationally efficient and relatively simple to implement, yet gives accuracy similar to finite element analysis and semi-analytical finite element analysis methods. The model has many potential applications; one example is the optimization of part-circumferential arrays where access to the full circumference of the pipe is restricted. The model has been successfully validated by comparison with finite element solutions. Experimental validation has also been carried out using an array of piezoelectric transducer elements to measure the displacement field arising from a single transducer element in an 88.9-mm-diameter pipe. Good agreement has been obtained between the two models and the experimental data.