Nonparametric Bayes dynamic modelling of relational data

DOI10.1093/BIOMET/ASU040zbMATH Open1306.62075arXiv1311.4669OpenAlexW2023246751MaRDI QIDQ2934767FDOQ2934767

Authors: Daniele Durante, David Dunson 

Publication date: 22 December 2014

Published in: Biometrika (Search for Journal in Brave)

Abstract: Symmetric binary matrices representing relations among entities are commonly collected in many areas. Our focus is on dynamically evolving binary relational matrices, with interest being in inference on the relationship structure and prediction. We propose a nonparametric Bayesian dynamic model, which reduces dimensionality in characterizing the binary matrix through a lower-dimensional latent space representation, with the latent coordinates evolving in continuous time via Gaussian processes. By using a logistic mapping function from the probability matrix space to the latent relational space, we obtain a flexible and computational tractable formulation. Employing P`olya-Gamma data augmentation, an efficient Gibbs sampler is developed for posterior computation, with the dimension of the latent space automatically inferred. We provide some theoretical results on flexibility of the model, and illustrate performance via simulation experiments. We also consider an application to co-movements in world financial markets.

Full work available at URL: https://arxiv.org/abs/1311.4669

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zbMATH Keywords

matrix factorizationfactor modelGaussian processlatent spacefinancial networknonparametric Bayes inferenceco-movement data

Mathematics Subject Classification ID

Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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