{"title":"Bayesian time-aligned factor analysis of paired multivariate time series.","authors":"Arkaprava Roy, Jana Schaich Borg, David B Dunson","doi":"","DOIUrl":null,"url":null,"abstract":"<p><p>Many modern data sets require inference methods that can estimate the shared and individual-specific components of variability in collections of matrices that change over time. Promising methods have been developed to analyze these types of data in static cases, but only a few approaches are available for dynamic settings. To address this gap, we consider novel models and inference methods for pairs of matrices in which the columns correspond to multivariate observations at different time points. In order to characterize common and individual features, we propose a Bayesian dynamic factor modeling framework called Time Aligned Common and Individual Factor Analysis (TACIFA) that includes uncertainty in time alignment through an unknown warping function. We provide theoretical support for the proposed model, showing identifiability and posterior concentration. The structure enables efficient computation through a Hamiltonian Monte Carlo (HMC) algorithm. We show excellent performance in simulations, and illustrate the method through application to a social mimicry experiment.</p>","PeriodicalId":50161,"journal":{"name":"Journal of Machine Learning Research","volume":null,"pages":null},"PeriodicalIF":4.3000,"publicationDate":"2021-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9221555/pdf/","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Machine Learning Research","FirstCategoryId":"94","ListUrlMain":"","RegionNum":3,"RegionCategory":"计算机科学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"AUTOMATION & CONTROL SYSTEMS","Score":null,"Total":0}
引用次数: 0
Abstract
Many modern data sets require inference methods that can estimate the shared and individual-specific components of variability in collections of matrices that change over time. Promising methods have been developed to analyze these types of data in static cases, but only a few approaches are available for dynamic settings. To address this gap, we consider novel models and inference methods for pairs of matrices in which the columns correspond to multivariate observations at different time points. In order to characterize common and individual features, we propose a Bayesian dynamic factor modeling framework called Time Aligned Common and Individual Factor Analysis (TACIFA) that includes uncertainty in time alignment through an unknown warping function. We provide theoretical support for the proposed model, showing identifiability and posterior concentration. The structure enables efficient computation through a Hamiltonian Monte Carlo (HMC) algorithm. We show excellent performance in simulations, and illustrate the method through application to a social mimicry experiment.
期刊介绍:
The Journal of Machine Learning Research (JMLR) provides an international forum for the electronic and paper publication of high-quality scholarly articles in all areas of machine learning. All published papers are freely available online.
JMLR has a commitment to rigorous yet rapid reviewing.
JMLR seeks previously unpublished papers on machine learning that contain:
new principled algorithms with sound empirical validation, and with justification of theoretical, psychological, or biological nature;
experimental and/or theoretical studies yielding new insight into the design and behavior of learning in intelligent systems;
accounts of applications of existing techniques that shed light on the strengths and weaknesses of the methods;
formalization of new learning tasks (e.g., in the context of new applications) and of methods for assessing performance on those tasks;
development of new analytical frameworks that advance theoretical studies of practical learning methods;
computational models of data from natural learning systems at the behavioral or neural level; or extremely well-written surveys of existing work.