Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices
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Flexible Bayesian Dynamic Modeling of Correlation and Covariance Matrices

  • Author(s): Lan, Shiwei
  • Holbrook, Andrew
  • Elias, Gabriel A
  • Fortin, Norbert J
  • Ombao, Hernando
  • Shahbaba, Babak
  • et al.

Published Web Location

https://doi.org/10.1214/19-ba1173
Abstract

Modeling correlation (and covariance) matrices can be challenging due to the positive-definiteness constraint and potential high-dimensionality. Our approach is to decompose the covariance matrix into the correlation and variance matrices and propose a novel Bayesian framework based on modeling the correlations as products of unit vectors. By specifying a wide range of distributions on a sphere (e.g. the squared-Dirichlet distribution), the proposed approach induces flexible prior distributions for covariance matrices (that go beyond the commonly used inverse-Wishart prior). For modeling real-life spatio-temporal processes with complex dependence structures, we extend our method to dynamic cases and introduce unit-vector Gaussian process priors in order to capture the evolution of correlation among components of a multivariate time series. To handle the intractability of the resulting posterior, we introduce the adaptive $\Delta$-Spherical Hamiltonian Monte Carlo. We demonstrate the validity and flexibility of our proposed framework in a simulation study of periodic processes and an analysis of rat's local field potential activity in a complex sequence memory task.

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