2024/06/07 by Hester Huijsdens, David Leeftink, Huijsdens, Hester +5 · 1 citation
Computer Science · Mathematics · #Advanced Statistical Methods and Models #Bayesian Methods and Mixture Models #FOS: Computer and information sciences #Machine Learning (stat.ML) #Methodology (stat.ME) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2406.04796
openalex publication_date 2024/06/07 · openalex created_date 2024/06/11 · openalex updated_date 2026/07/28
Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time. A Bayesian nonparametric model known as the Wishart process has been shown to be effective in this situation, but its inference remains highly challenging. In this work, we introduce a Sequential Monte Carlo (SMC) sampler for the Wishart process, and show how it compares to conventional inference approaches, namely MCMC and variational inference. Using simulations we show that SMC sampling results in the most robust estimates and out-of-sample predictions of dynamic covariance. SMC especially outperforms the alternative approaches when using composite covariance functions with correlated parameters. We demonstrate the practical applicability of our proposed approach on a dataset of clinical depression (n=1), and show how using an accurate representation of the posterior distribution can be used to test for dynamics on covariance