Dynamics & sparsity in latent threshold factor models: A study in multivariate EEG signal processing
© Brazilian Statistical Association, 2017. 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.
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