arXiv subjects
Publications and source records attributed to Simon P. Wilson.
In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is illustrated using actual default/prepayment data and additional insights that can be obtained from the Bayesian analysis are discussed.
A functional approximation to implement Bayesian source separation analysis is introduced and applied to separation of the Cosmic Microwave Background (CMB) using WMAP data. The approximation allows for tractable full-sky map reconstructions at the scale of both WMAP and Planck data and models the spatial smoothness of sources through a Gaussian Markov random field prior. It is orders of magnitude faster than the usual MCMC approaches. The performance and limitations of the approximation are also discussed.