Poisson-Gamma Dynamical Systems with Time-varying Transition Dynamics

• URL: http://arxiv.org/abs/2609.00896v1
• Date: Tue, 01 Sep 2026 08:22:58 GMT
• Title: Poisson-Gamma Dynamical Systems with Time-varying Transition Dynamics
• Abstract summary: A time-varying transition kernel is proposed to allow the underlying transition matrices to evolve over time.<n>A fully-conjugate and efficient Gibbs sampler is developed to perform posterior simulation.<n> Experiments show that, in comparison with related models, the proposed PGDS achieves improved predictive performance.
• Score: 16.227071346776004
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Bayesian methodologies for handling count-valued time series have gained prominence due to their ability to infer interpretable latent structures and to estimate uncertainties. Among these Bayesian models, Poisson-Gamma Dynamical Systems (PGDSs) are proven to be effective in capturing the evolving dynamics underlying observed count sequences. However, the state-of-the-art PGDS still falls short in capturing the transition dynamics that are commonly observed in real-world count time series. To mitigate this limitation, a PGDS with time-varying transition kernel (TV-PGDS), is proposed to allow the underlying transition matrices to evolve over time. Three specifically-designed Dirichlet Markov chains (Dir-Dir, Dir-Gam-Dir, PR-Gam-Dir) are constructed to accommodate heterogeneous structural mutations within these dependencies. Leveraging Dirichlet-Multinomial-Beta data augmentation techniques, a fully-conjugate and efficient Gibbs sampler is developed to perform posterior simulation. Experiments show that, in comparison with related models, the proposed PGDS achieves improved predictive performance due to its capacity to learn time-varying dependency structure captured by the time-evolving transition matrices.

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