Bayesian Markov-Switching Tensor Regression for Time-Varying Networks

DOI10.1080/01621459.2022.2102502MaRDI QIDQ6153973zbMATH OpenOpenAlexWikidataFDO

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)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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)

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.

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Cited in

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