Bayesian Inference in High-Dimensional Time-Serieswith the Orthogonal Stochastic Linear Mixing Model

• URL: http://arxiv.org/abs/2106.13379v1
• Date: Fri, 25 Jun 2021 01:12:54 GMT
• Title: Bayesian Inference in High-Dimensional Time-Serieswith the Orthogonal Stochastic Linear Mixing Model
• Authors: Rui Meng, Kristofer Bouchard
• Abstract summary: Many modern time-series datasets contain large numbers of output response variables sampled for prolonged periods of time. In this paper, we propose a new Markov chain Monte Carlo framework for the analysis of diverse, large-scale time-series datasets.
• Score: 2.7909426811685893
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Many modern time-series datasets contain large numbers of output response variables sampled for prolonged periods of time. For example, in neuroscience, the activities of 100s-1000's of neurons are recorded during behaviors and in response to sensory stimuli. Multi-output Gaussian process models leverage the nonparametric nature of Gaussian processes to capture structure across multiple outputs. However, this class of models typically assumes that the correlations between the output response variables are invariant in the input space. Stochastic linear mixing models (SLMM) assume the mixture coefficients depend on input, making them more flexible and effective to capture complex output dependence. However, currently, the inference for SLMMs is intractable for large datasets, making them inapplicable to several modern time-series problems. In this paper, we propose a new regression framework, the orthogonal stochastic linear mixing model (OSLMM) that introduces an orthogonal constraint amongst the mixing coefficients. This constraint reduces the computational burden of inference while retaining the capability to handle complex output dependence. We provide Markov chain Monte Carlo inference procedures for both SLMM and OSLMM and demonstrate superior model scalability and reduced prediction error of OSLMM compared with state-of-the-art methods on several real-world applications. In neurophysiology recordings, we use the inferred latent functions for compact visualization of population responses to auditory stimuli, and demonstrate superior results compared to a competing method (GPFA). Together, these results demonstrate that OSLMM will be useful for the analysis of diverse, large-scale time-series datasets.

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