Tree-Embedded Bayesian Factor Models for Multidimensional Categorical Distributions
多维分类分布的树嵌入贝叶斯因子模型AI 解读 ↓
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多维分类分布的树嵌入贝叶斯因子模型AI 解读 ↓
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Analyzing data collected from multiple observational units to estimate common and heterogeneous structures through a hierarchical model is a central task in Bayesian inference, and to this end, Bayesian factor models are one of the most widely used tools for this purpose. In this paper, we propose a novel Bayesian latent factor model for categorical distributions from grouped data, providing a parsimonious model for describing many observed distributions through lower-dimensional structures. Grouped data arise in a wide range of applications in social science, for example, distributions of age composition and income observed across locations. In these contexts, standard mixture models can be inefficient because the distributions do not necessarily exhibit clear clustering structures, and the distributions can be more accurately approximated as a combination of lower-dimensional characteristics. To analyze distribution-valued data with the Bayesian factor analysis, we adopt a tree-based transformation that embeds distributions into a Euclidean space and construct a Bayesian latent factor model in the transformed space. We develop the hierarchical model by incorporating the infinite factor model, which can adaptively estimate the number of effective factors. In addition, we propose its generalization by incorporating a spatial dependence by introducing a prior based on a SAR model. The proposed model provides smooth estimates of multivariate distributional structures, because once a tree-based transformation is applied, both univariate and multivariate distributions are essentially treated as the same Euclidean vectors. Through numerical experiments using real population data, we demonstrate that the proposed model outperforms existing parametric and Bayesian nonparametric models in various scenarios involving smooth spatial variations, especially under small sample sizes.
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提高时空数据贝叶斯非参数因子分析的可扩展性
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COVID-19 在金融网络中的传播:半参数矩阵回归模型
Network models represent a useful tool to describe the complex set of financial relationships among heterogeneous firms in the system. In this paper, we propose a new semiparametric model for temporal multilayer causal networks with both intra- and inter-layer connectivity. A Bayesian model with a hierarchical mixture prior distribution is assumed to capture heterogeneity in the response of the network edges to a set of risk factors including the European COVID-19 cases. We…
动态预测计量建模中的大数据
The modern economic environment is awash in Big Data. The business models of many of today’s largest and most innovative firms, for example, are intimately connected to data collection and processing. Closely related, all of science is now similarly awash in Big Data, due to massive advances in data capture and storage technology, typically in conjunction with the internet.1 Time-series econometrics is no exception, and the time-series community is beginning to confront Big…