Network inference via approximate Bayesian computation. Illustration on a stochastic multi-population neural mass model
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In this article, we propose an adapted sequential Monte Carlo approximate Bayesian computation (SMC-ABC) algorithm for network inference in coupled stochastic differential equations (SDEs) used for multivariate time series modeling. Our approach is motivated by neuroscience, specifically the challenge of estimating brain connectivity before and during epileptic seizures. To this end, we make four key contributions. First, we introduce a 6N-dimensional SDE to model the activity of N coupled neuronal populations, extending the (single-population) stochastic Jansen and Rit neural mass model used to describe human electroencephalography (EEG) rhythms, particularly epileptic activity. Second, we construct a reliable and efficient numerical splitting scheme for the model simulation. Third, we apply the proposed adapted SMC-ABC algorithm to the neural mass model and validate it on different types of simulated data. Compared to standard SMC-ABC, our approach significantly reduces computational cost by requiring fewer model simulations to reach the desired posterior region, thanks to the inclusion of binary parameters describing the presence or absence of coupling directions. Finally, we apply our method to real multi-channel EEG data, uncovering potential similarities in patients' brain activities across different epileptic seizures, as well as differences between pre-seizure and seizure periods.
RBF 核高斯过程最大似然估计的精确渐近理论
Gaussian processes (GPs) are widely used across machine learning, spatial statistics, time-series analysis, optimization, Bayesian statistics, and scientific applications. A central component of a GP model is its kernel, which is typically specified through a parametric family. Among the most widely used choices is the radial basis function (RBF), also known as the squared exponential or Gaussian kernel, owing to its simple form, smoothness, and flexibility. In practice, the…
适用于多资产的计算高效多元波动率模型
This paper develops a flexible and computationally efficient multivariate volatility model that accommodates dynamic conditional correlations and volatility spillover effects among financial assets. The new model has desirable properties such as identifiability and computational tractability for many assets.A sufficient condition for strict stationarity is derived for the process.Two quasi-maximum likelihood estimation methods are proposed for the new model without and with…
具有结构化收缩与持续性先验的贝叶斯广义网络自回归模型
We propose a Bayesian generalized network autoregressive (BGNAR) model for multivariate time series whose component series are associated with the nodes of a known network. The proposed framework combines the parsimonious network structure of the generalized network autoregressive (GNAR) model with structured shrinkage and persistence priors adapted from Bayesian vector autoregressive (BVAR) modeling. We adapt Minnesota-type shrinkage to both own-lag and network-lag…
动态空间贝叶斯机器学习:美国代际流动与地理收入不平等应用
We develop a Dynamic Spatial Panel Bayesian Additive Regression Trees model with Horseshoe shrinkage (DSP-BART-HS) for high-dimensional spatio-temporal panel data. We jointly evaluate the model against a comprehensive suite of structural spatial econometrics, non-parametric machine learning methods, and small-area estimators across nine data-generating scenarios spanning 200 replicates each, including irregular spatial topologies, dense policy effects, and non-linear…
空间相关函数数据的小波贝叶斯层级模型与正则化马蹄先验
Environmental monitoring networks increasingly record pollutant levels as curves observed over time at fixed stations. Yet, exposure and risk assessment often require predicting these curves, with their uncertainty, at unmonitored locations. Conventional smooth-basis methods for such spatially correlated functional data, including spline-based kriging, tend to over-smooth acute, high-frequency episodes such as pollution peaks. We propose a parsimonious wavelet-based Bayesian…
面向空间转录组与遥感数据的空间正交因子模型
Principal component analyses are often applied to spatial data towards inference on latent modes of spatial variation. These analyses are widespread across domains including spatial transcriptomics and environmental sciences, where the modes of spatial variation are represented by corresponding factors of gene expression or remotely sensed time series measurements. Many methods have been proposed for incorporating spatial information into a probabilistic PCA framework;…