A unified view on Bayesian varying coefficient models
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Publication:2283580
Abstract: Varying coefficient models are useful in applications where the effect of the covariate might depend on some other covariate such as time or location. Various applications of these models often give rise to case-specific prior distributions for the parameter(s) describing how much the coefficients vary. In this work, we introduce a unified view of varying coefficients models, arguing for a way of specifying these prior distributions that are coherent across various applications, avoid overfitting and have a coherent interpretation. We do this by considering varying coefficients models as a flexible extension of the natural simpler model and capitalising on the recently proposed framework of penalized complexity (PC) priors. We illustrate our approach in two spatial examples where varying coefficient models are relevant.
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Cited in
(7)- Spatio-temporal downscaling emulator for regional climate models
- Time-varying auto-regressive models for count time-series
- Varying-coefficient models for geospatial transfer learning
- A unified view on Bayesian varying coefficient models
- Bayesian modelling of time-varying conditional heteroscedasticity
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- Copula modelling with penalized complexity priors: the bivariate case
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