Bayesian Nonparametric Regression Modeling of Panel Data for Sequential Classification.

Abstract

This paper proposes a Bayesian nonparametric regression model of panel data for sequential pattern classification. The proposed method provides a flexible and parsimonious model that allows both time-independent spatial variables and time-dependent exogenous variables to be predictors. Not only this method improves the accuracy of parameter estimation for limited data, but also it facilitates model interpretation by identifying statistically significant predictors with hypothesis testing. Moreover, as the data length approaches infinity, posterior consistency of the model is guaranteed for general data-generating processes under regular conditions. The resulting model of panel data can also be used for sequential classification. The proposed method has been tested by numerical simulation, then validated on an econometric public data set, and subsequently validated for detection of combustion instabilities with experimental data that have been generated in a laboratory environment.