Variational Bayesian inference for network autoregression models

Wei Ting Lai, Ray Bing Chen, Ying Chen, Thorsten Koch

研究成果: Article同行評審

6 引文 斯高帕斯(Scopus)

摘要

We develop a variational Bayesian (VB) approach for estimating large-scale dynamic network models in the network autoregression framework. The VB approach allows for the automatic identification of the dynamic structure of such a model and obtains a direct approximation of the posterior density. Compared to the Markov chain Monte Carlo (MCMC)-based sampling approaches, the VB approach achieves enhanced computational efficiency without sacrificing estimation accuracy. In a real data analysis scenario of day-ahead natural gas flow prediction in the German gas transmission network with 51 nodes between October 2013 and September 2015, the VB approach delivers promising forecasting accuracy along with clearly detected structures in terms of dynamic dependence.

原文English
文章編號107406
期刊Computational Statistics and Data Analysis
169
DOIs
出版狀態Published - 2022 5月

All Science Journal Classification (ASJC) codes

  • 統計與概率
  • 計算數學
  • 計算機理論與數學
  • 應用數學

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