Dynamic Chain Graph Models for Time Series Network Data

Abstract

This paper introduces a new class of Bayesian dynamic models for inference and forecasting in high-dimensional time series observed on networks. The new model, called the dynamic chain graph model, is suitable for multivariate time series which exhibit symmetries within subsets of series and a causal drive mechanism between these subsets. The model can accommodate high-dimensional, non-linear and non-normal time series and enables local and parallel computation by decomposing the multivariate problem into separate, simpler sub-problems of lower dimensions. The advantages of the new model are illustrated by forecasting traffic network flows and also modelling gene expression data from transcriptional networks.