Sequential Bayesian Analysis of Multivariate Count Data

Academic Article


  • We develop a new class of dynamic multivariate Poisson count models that allow for fast online updating and we refer to these models as multivariate Poisson-scaled beta (MPSB). The MPSB model allows for serial dependence in the counts as well as dependence across multiple series with a random common environment. Other notable features include analytic forms for state propagation and predictive likelihood densities. Sequential updating occurs through the updating of the sufficient statistics for static model parameters, leading to a fully adapted particle learning algorithm and a new class of predictive likelihoods and marginal distributions which we refer to as the (dynamic) multivariate confluent hyper-geometric negative binomial distribution (MCHG-NB) and the the dynamic multivariate negative binomial (DMNB) distribution. To illustrate our methodology, we use various simulation studies and count data on weekly non-durable goods consumer demand.
  • Authors

  • Aktekin, Tevfik
  • Polson, Nick
  • Soyer, Refik
  • Status

    Publication Date

  • June 2018
  • Has Subject Area

    Published In

  • Bayesian Analysis  Journal
  • Keywords

  • count time series
  • multivariate poisson
  • particle learning
  • scaled beta prior
  • state space
  • Digital Object Identifier (doi)

    Start Page

  • 385
  • End Page

  • 409
  • Volume

  • 13
  • Issue

  • 2