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Dynamic Chain Graph Models for Time Series Network Data

  • Osvaldo Anacleto
  • , Catriona Queen

Research output: Contribution to journal › Article › peer-review

Abstract

This paper introduces a new class of Bayesian dynamic models for inference and forecasting in high-dimensional time series observed on networks. The new model, called the dynamic chain graph model, is suitable for multivariate time series which exhibit symmetries within subsets of series and a causal drive mechanism between these subsets. The model can accommodate high-dimensional, non-linear and non-normal time series and enables local and parallel computation by decomposing the multivariate problem into separate, simpler sub-problems of lower dimensions. The advantages of the new model are illustrated by forecasting traffic network flows and also modelling gene expression data from transcriptional networks.
Original languageEnglish
Pages (from-to)491-509
JournalBayesian analysis
Volume12
Issue number2
Early online date17 Jun 2016
DOIs
Publication statusPublished - Jun 2017

Keywords / Materials (for Non-textual outputs)

  • chain graph
  • multiregression dynamic model
  • network traffic flow forecasting
  • gene expression networks
  • network data
  • time series analyses

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    • ISP1: Analysis and prediction in complex animal systems

      Tenesa, A. (Principal Investigator), Archibald, A. (Co-investigator), Beard, P. (Co-investigator), Bishop, S. (Co-investigator), Bronsvoort, M. (Co-investigator), Burt, D. (Co-investigator), Freeman, T. (Co-investigator), Haley, C. (Co-investigator), Hocking, P. (Co-investigator), Houston, R. (Co-investigator), Hume, D. (Co-investigator), Joshi, A. (Co-investigator), Law, A. (Co-investigator), Michoel, T. (Co-investigator), Summers, K. (Co-investigator), Vernimmen, D. (Co-investigator), Watson, M. (Co-investigator), Wiener, P. (Co-investigator), Wilson, A. (Co-investigator), Woolliams, J. (Co-investigator), Ait-Ali, T. (Researcher), Barnett, M. (Researcher), Carlisle, A. (Researcher), Finlayson, H. (Researcher), Haga, I. (Researcher), Karavolos, M. (Researcher), Matika, O. (Researcher), Paterson, T. (Researcher), Paton, B. (Researcher), Pong-Wong, R. (Researcher), Robert, C. (Researcher) & Robertson, G. (Researcher)

      Biotechnology and Biological Sciences Research Council

      1/04/12 → 31/03/17

      Project: Research

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