• Corpus ID: 61914797

Joint Modeling of Multiple Related Time Series via the Beta Process

@article{Fox2011JointMO,
  title={Joint Modeling of Multiple Related Time Series via the Beta Process},
  author={Emily B. Fox and Erik B. Sudderth and Michael I. Jordan and Alan S. Willsky},
  journal={arXiv: Methodology},
  year={2011}
}
We propose a Bayesian nonparametric approach to the problem of jointly modeling multiple related time series. Our approach is based on the discovery of a set of latent, shared dynamical behaviors. Using a beta process prior, the size of the set and the sharing pattern are both inferred from data. We develop efficient Markov chain Monte Carlo methods based on the Indian buffet process representation of the predictive distribution of the beta process, without relying on a truncated model. In… 

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