Semiparametric functional factor models with Bayesian rank selection
From MaRDI portal
Publication:6203345
DOI10.1214/23-BA1410arXiv2108.02151OpenAlexW3188835777MaRDI QIDQ6203345FDOQ6203345
Antonio Canale, Daniel R. Kowal
Publication date: 27 February 2024
Published in: Bayesian Analysis (Search for Journal in Brave)
Abstract: Functional data are frequently accompanied by a parametric template that describes the typical shapes of the functions. However, these parametric templates can incur significant bias, which undermines both utility and interpretability. To correct for model misspecification, we augment the parametric template with an infinite-dimensional nonparametric functional basis. The nonparametric basis functions are learned from the data and constrained to be orthogonal to the parametric template, which preserves distinctness between the parametric and nonparametric terms. This distinctness is essential to prevent functional confounding, which otherwise induces severe bias for the parametric terms. The nonparametric factors are regularized with an ordered spike-and-slab prior that provides consistent rank selection and satisfies several appealing theoretical properties. The versatility of the proposed approach is illustrated through applications to synthetic data, human motor control data, and dynamic yield curve data. Relative to parametric and semiparametric alternatives, the proposed semiparametric functional factor model eliminates bias, reduces excessive posterior and predictive uncertainty, and provides reliable inference on the effective number of nonparametric terms--all with minimal additional computational costs.
Full work available at URL: https://arxiv.org/abs/2108.02151
Bayesian inference (62F15) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Functional data analysis (62R10)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Forecasting the term structure of government bond yields
- Asymptotic equivalence of Bayes cross validation and widely applicable information criterion in singular learning theory
- Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
- Spike-and-Slab Priors for Function Selection in Structured Additive Regression Models
- A review of Bayesian variable selection methods: what, how and which
- A Bayesian analysis of some nonparametric problems
- Prior distributions for variance parameters in hierarchical models (Comment on article by Browne and Draper)
- A survey of functional principal component analysis
- Spike and slab variable selection: frequentist and Bayesian strategies
- Bayesian estimation of sparse signals with a continuous spike-and-slab prior
- Linear mixed models for longitudinal data
- Effects of Residual Smoothing on the Posterior of the Fixed Effects in Disease‐Mapping Models
- Needles and straw in a haystack: posterior concentration for possibly sparse sequences
- Penalized regression with model-based penalties
- The Analysis of Longitudinal Data Using Mixed Model L‐Splines
- Parametric Functional Principal Component Analysis
- A Functional Data Analysis of the Pinch Force of Human Fingers
- On the Pitman–Yor process with spike and slab base measure
- Bayesian Hierarchical Functional Data Analysis Via Contaminated Informative Priors
- Enriched Stick-Breaking Processes for Functional Data
- Dynamic regression models for time-ordered functional data
- Bayesian Semiparametric Functional Mixed Models for Serially Correlated Functional Data, With Application to Glaucoma Data
- Bayesian cumulative shrinkage for infinite factorizations
- Additive Bayesian variable selection under censoring and misspecification
- Generalized infinite factorization models
This page was built for publication: Semiparametric functional factor models with Bayesian rank selection
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6203345)
