Bayesian Markov Switching Tensor Regression for Time-varying Networks
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.
Cite
@article{arxiv.1711.00097,
title = {Bayesian Markov Switching Tensor Regression for Time-varying Networks},
author = {Monica Billio and Roberto Casarin and Matteo Iacopini},
journal= {arXiv preprint arXiv:1711.00097},
year = {2019}
}