Accelerating Bayesian hierarchical clustering of time series data with a randomised algorithm.

We live in an era of abundant data. This has necessitated the development of new and innovative statistical algorithms to get the most from experimental data. For example, faster algorithms make practical the analysis of larger genomic data sets, allowing us to extend the utility of cutting-edge statistical methods. We present a randomised algorithm that accelerates the clustering of time series data using the Bayesian Hierarchical Clustering (BHC) statistical method. BHC is a general method for clustering any discretely sampled time series data. In this paper we focus on a particular application to microarray gene expression data. We define and analyse the randomised algorithm, before presenting results on both synthetic and real biological data sets. We show that the randomised algorithm leads to substantial gains in speed with minimal loss in clustering quality. The randomised time series BHC algorithm is available as part of the R package BHC, which is available for download from Bioconductor (version 2.10 and above) via http://bioconductor.org/packages/2.10/bioc/html/BHC.html. We have also made available a set of R scripts which can be used to reproduce the analyses carried out in this paper. These are available from the following URL. https://sites.google.com/site/randomisedbhc/.

Dynamic Covariance Models for Multivariate Financial Time Series

The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problems and multiple local optima, b) failure to capture shifts in market conditions and c) large computational costs. To address these problems we introduce a novel dynamic model for time-changing covariances. Over-fitting and local optima are avoided by following a Bayesian approach instead of computing point estimates. Changes in market conditions are captured by assuming a diffusion process in parameter values, and finally computationally efficient and scalable inference is performed using particle filters. Experiments with financial data show excellent performance of the proposed method with respect to current standard models.

Reversible jump sampler for autoregressive time series

We use reversible jump Markov chain Monte Carlo (MCMC) methods to address the problem of model order uncertainty in autoregressive (AR) time series within a Bayesian framework. Efficient model jumping is achieved by proposing model space moves from the full conditional density for the AR parameters, which is obtained analytically. This is compared with an alternative method, for which the moves are cheaper to compute, in which proposals are made only for new parameters in each move. Results are presented for both synthetic and audio time series.

Bayesian model selection for time series using Markov chain Monte Carlo

We present a stochastic simulation technique for subset selection in time series models, based on the use of indicator variables with the Gibbs sampler within a hierarchical Bayesian framework. As an example, the method is applied to the selection of subset linear AR models, in which only significant lags are included. Joint sampling of the indicators and parameters is found to speed convergence. We discuss the possibility of model mixing where the model is not well determined by the data, and the extension of the approach to include non-linear model terms.