Abstract
We introduce Gaussian orthogonal latent factor processes for modeling and predicting large correlated data. To handle the computational challenge, we first decompose the likelihood function of the Gaussian random field with a multi-dimensional input domain into a product of densities at the orthogonal components with lower-dimensional inputs. The continuous-time Kalman filter is implemented to compute the likelihood function efficiently without making approximations. We also show that the posterior distribution of the factor processes is independent, as a consequence of prior independence of factor processes and orthogonal factor loading matrix. For studies with large sample sizes, we propose a flexible way to model the mean, and we derive the marginal posterior distribution to solve identifiability issues in sampling these parameters. Both simulated and real data applications confirm the outstanding performance of this method.
Funding Statement
This research was supported by National Science Foundation under Award Number DMS-2053423 and National Institutes of Health under Award Number R01DK130067.
Acknowledgments
We thank the editor, associate editor and referee for their comments that substantially improved the article.
Citation
Mengyang Gu. Hanmo Li. "Gaussian Orthogonal Latent Factor Processes for Large Incomplete Matrices of Correlated Data." Bayesian Anal. 17 (4) 1219 - 1244, December 2022. https://doi.org/10.1214/21-BA1295
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