Papers Published

1. Ray, P; Carin, L, Nonparametric Bayesian factor analysis of multiple time series, IEEE Workshop on Statistical Signal Processing Proceedings (September, 2011), pp. 49-52, IEEE [doi] .
   (last updated on 2024/12/31)

   Abstract:
   We propose a nonparametric Bayesian factor analysis framework for characterization of multiple time-series. The proposed model automatically infers the number of factors and the noise/residual variance, and it is also able to cluster time series which behave similarly over prescribed time windows. We use a Pitman-Yor process to impose such clustering. We also provide a general MCMC inference scheme and demonstrate the proposed framework on the analysis of multi-year stock prices of companies in the S & P 500. © 2011 IEEE.