Publications [#258798] of Mike West
Papers Published
- Nakajima, J; West, M. "Dynamics & sparsity in latent threshold factor models: A study in multivariate EEG signal processing." Brazilian Journal of Probability and Statistics 31.4 (January, 2017): 701-731. [2014-01], [doi]
(last updated on 2024/04/24)Abstract:
We discuss Bayesian analysis of multivariate time series with dynamic factor models that exploit time-adaptive sparsity in model parametriza-tions via the latent threshold approach. One central focus is on the transfer responses of multiple interrelated series to underlying, dynamic latent factor processes. Structured priors on model hyper-parameters are key to the efficacy of dynamic latent thresholding, and MCMC-based computation enables model fitting and analysis. A detailed case study of electroencephalographic (EEG) data from experimental psychiatry highlights the use of latent threshold extensions of time-varying vector autoregressive and factor models. This study explores a class of dynamic transfer response factor models, extending prior Bayesian modeling of multiple EEG series and highlighting the practical utility of the latent thresholding concept in multivariate, non-stationary time series analysis.