Bayesian Markov-Switching Tensor Regression for Time-Varying Networks

DOI10.1080/01621459.2022.2102502arXiv1711.00097OpenAlexW3125143186WikidataQ114101022 ScholiaQ114101022MaRDI QIDQ6153973FDOQ6153973

Authors: Monica Billio, Roberto Casarin, Matteo Iacopini 

Publication date: 19 March 2024

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: We propose a new Bayesian Markov switching regression model for multidimensional arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time-varying parameters and apply it to multilayer temporal networks. The original contribution is threefold. First, to avoid over-fitting we propose a parsimonious parametrization based on a low-rank decomposition of the tensor of regression coefficients. Second, we assume the parameters are driven by a hidden Markov chain, thus allowing for structural changes in the network topology. We follow a Bayesian approach to inference and provide an efficient Gibbs sampler for posterior approximation. We apply the methodology to a real dataset of financial networks to study the impact of several risk factors on the edge probability. Supplementary materials for this article are available online.

Full work available at URL: https://arxiv.org/abs/1711.00097

zbMATH Keywords

nonlinear time seriessparsitymultidimensional datazero-inflated logit

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited In (2)

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