Bayesian Analysis
- Bayesian Anal.
- Volume 6, Number 2 (2011), 179-196.
Separable covariance arrays via the Tucker product, with applications to multivariate relational data
Abstract
Modern datasets are often in the form of matrices or arrays, potentially having correlations along each set of data indices. For example, data involving repeated measurements of several variables over time may exhibit temporal correlation as well as correlation among the variables. A possible model for matrix-valued data is the class of matrix normal distributions, which is parametrized by two covariance matrices, one for each index set of the data. In this article we discuss an extension of the matrix normal model to accommodate multidimensional data arrays, or tensors. We show how a particular array-matrix product can be used to generate the class of array normal distributions having separable covariance structure. We derive some properties of these covariance structures and the corresponding array normal distributions, and show how the array-matrix product can be used to define a semi-conjugate prior distribution and calculate the corresponding posterior distribution. We illustrate the methodology in an analysis of multivariate longitudinal network data which take the form of a four-way array.
Article information
Source
Bayesian Anal., Volume 6, Number 2 (2011), 179-196.
Dates
First available in Project Euclid: 13 June 2012
Permanent link to this document
https://projecteuclid.org/euclid.ba/1339612040
Digital Object Identifier
doi:10.1214/11-BA606
Mathematical Reviews number (MathSciNet)
MR2806238
Zentralblatt MATH identifier
1330.62132
Subjects
Primary: 62F15: Bayesian inference
Secondary: 60E05: Distributions: general theory 62H05: Characterization and structure theory 62H12: Estimation 62J10: Analysis of variance and covariance 62P20: Applications to economics [See also 91Bxx]
Keywords
Gaussian matrix normal multiway data network tensor Tucker decomposition
Citation
Hoff, Peter D. Separable covariance arrays via the Tucker product, with applications to multivariate relational data. Bayesian Anal. 6 (2011), no. 2, 179--196. doi:10.1214/11-BA606. https://projecteuclid.org/euclid.ba/1339612040
See also
- Related item: Genevera I. Allen. Comment on article by Hoff. Bayesian Anal., Vol. 6, Iss. 2 (2011), 197-201.Project Euclid: euclid.ba/1339612041
- Related item: Hedibert Freitas Lopes. Comment on article by Hoff. Bayesian Anal., Vol. 6, Iss. 2 (2011), 203-204.Project Euclid: euclid.ba/1339612042