Affiliation:
1. Tsinghua University, Beijing, China
2. Singapore Management University, Singapore
Abstract
Time-varying dynamic Bayesian network (TVDBN) is essential for describing time-evolving directed conditional dependence structures in complex multivariate systems. In this article, we construct a TVDBN model, together with a score-based method for its structure learning. The model adopts a vector autoregressive (VAR) model to describe inter-slice and intra-slice relations between variables. By allowing VAR parameters to change segment-wisely over time, the time-varying dynamics of the network structure can be described. Furthermore, considering some external information can provide additional similarity information of variables. Graph Laplacian is further imposed to regularize similar nodes to have similar network structures. The regularized maximum a posterior estimation in the Bayesian inference framework is used as a score function for TVDBN structure evaluation, and the alternating direction method of multipliers (ADMM) with L-BFGS-B algorithm is used for optimal structure learning. Thorough simulation studies and a real case study are carried out to verify our proposed method’s efficacy and efficiency.
Publisher
Association for Computing Machinery (ACM)
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