Journal
JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS
Volume 23, Issue 3, Pages 589-615Publisher
TAYLOR & FRANCIS INC
DOI: 10.1080/10618600.2013.810150
Keywords
Approximate Bayesian inference; Generalized additive models; Mean field variational Bayes; Mixed models; Online variational Bayes; Penalized splines; Wavelets
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Funding
- Australian Research Council [DP110100061]
- U.S. National Science Foundation
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We develop algorithms for performing semiparametric regression analysis in real time, with data processed as it is collected and made immediately available via modern telecommunications technologies. Our definition of semiparametric regression is quite broad and includes, as special cases, generalized linear mixed models, generalized additive models, geostatistical models, wavelet nonparametric regression models and their various combinations. Fast updating of regression fits is achieved by couching semiparametric regression into a Bayesian hierarchical model or, equivalently, graphical model framework and employing online mean field variational ideas. An Internet site attached to this article, realtime-semiparametric-regression.net, illustrates the methodology for continually arriving stock market, real estate, and airline data. Flexible real-time analyses based on increasingly ubiquitous streaming data sources stand to benefit. This article has online supplementary material.
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