A Bayesian mixture model for Poisson network autoregression
泊松网络自回归的贝叶斯混合模型AI 解读 ↓
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泊松网络自回归的贝叶斯混合模型AI 解读 ↓
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In this paper, we propose a new Bayesian Poisson network autoregression mixture model (PNARM). Our model combines ideas from the models of Dahl 2008, Ren et al. 2024 and Armillotta and Fokianos 2024, as it is motivated by the following aims. We consider the problem of modelling multivariate count time series since they arise in many real-world data sets, but has been studied less than its Gaussian-distributed counterpart (Fokianos 2024). Additionally, we assume that the time series occur on the nodes of a known underlying network where the edges dictate the form of the structural vector autoregression model, as a means of imposing sparsity. A further aim is to accommodate heterogeneous node dynamics, and to develop a probabilistic model for clustering nodes that exhibit similar behaviour. We develop an MCMC algorithm for sampling from the model's posterior distribution. The model is applied to a data set of COVID-19 cases in the counties of the Republic of Ireland.
多变量计数时间序列分析的潜在空间模型
Motivated by a dataset of burglaries in Chicago, USA, we introduce a novel framework to analyze time series of count data combining common multivariate time series models with latent position network models. This novel methodology allows us to gain a new latent variable perspective on the crime dataset that we consider, allowing us to disentangle and explain the complex patterns exhibited by the data, while providing a natural time series framework that can be used to make…
图辅助分组网络自回归模型:贝叶斯非参数方法
Vector autoregression model is ubiquitous in classical time series data analysis. With the rapid advance of social network sites, time series data over latent graph is becoming increasingly popular. In this article, we develop a novel Bayesian grouped network autoregression model, which can simultaneously estimate group information (number of groups and group configurations) and group-wise parameters. Specifically, a graphically assisted Chinese restaurant process is…
贝叶斯动态张量回归
High- and multi-dimensional array data are becoming increasingly available. They admit a natural representation as tensors and call for appropriate statistical tools. We propose a new linear autoregressive tensor process (ART) for tensor-valued data, that encompasses some well-known time series models as special cases. We study its properties and derive the associated impulse response function. We exploit the PARAFAC low-rank decomposition for providing a parsimonious…
图结构辅助的分组网络自回归模型:贝叶斯非参数方法
Vector autoregression model is ubiquitous in classical time series data analysis. With the rapid advance of social network sites, time series data over latent graph is becoming increasingly popular. In this paper, we develop a novel Bayesian grouped network autoregression model to simultaneously estimate group information (number of groups and group configurations) and group-wise parameters. Specifically, a graphically assisted Chinese restaurant process is incorporated…
网络中的动态创新传导:理论、大 T 推断与滞后投入产出转换下的商业周期
I develop an econometric framework that rationalizes the dynamics of a cross-sectional variable by lagged transmissions of innovations along bilateral links between units. While nesting the Spatial Autoregression and Spatial Error Model as limits and producing equivalent impulse-responses in the long run, the Network-Vector-Autoregression (NVAR) I propose can accommodate general transmission patterns over time and yields "networked" transition dynamics distinct from those…
分位数网络向量自回归中的双向同质性分组
We propose a two-way grouped network quantile (TGNQ) autoregression model for time series data observed on networks with substantial heterogeneity and complex directional interactions. Motivated by prior studies on network effects in directed networks, our model assigns each node two latent group memberships to flexibly capture asymmetric and heterogeneous interactions among users. These memberships, along with model parameters, can be consistently estimated using the…