Bayesian nonparametric sparse VAR models

High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR models that can improve estimation efficiency and prediction accuracy. Our hierarchical prior overcomes overparametrization and overfitting issues by clustering the VAR coefficients into groups and by shrinking the coefficients of each group toward a common location. Clustering and shrinking effects induced by the BNP-Lasso prior are well suited for the extraction of causal networks from time series, since they account for some stylized facts in real-world networks, which are sparsity, communities structures and heterogeneity in the edges intensity. In order to fully capture the richness of the data and to achieve a better understanding of financial and macroeconomic risk, it is therefore crucial that the model used to extract network accounts for these stylized facts.Comment: Forthcoming in "Journal of Econometrics" ---- Revised Version of the paper "Bayesian nonparametric Seemingly Unrelated Regression Models" ---- Supplementary Material available on reques

The Infinite Degree Corrected Stochastic Block Model

In Stochastic blockmodels, which are among the most prominent statistical models for cluster analysis of complex networks, clusters are defined as groups of nodes with statistically similar link probabilities within and between groups. A recent extension by Karrer and Newman incorporates a node degree correction to model degree heterogeneity within each group. Although this demonstrably leads to better performance on several networks it is not obvious whether modelling node degree is always appropriate or necessary. We formulate the degree corrected stochastic blockmodel as a non-parametric Bayesian model, incorporating a parameter to control the amount of degree correction which can then be inferred from data. Additionally, our formulation yields principled ways of inferring the number of groups as well as predicting missing links in the network which can be used to quantify the model's predictive performance. On synthetic data we demonstrate that including the degree correction yields better performance both on recovering the true group structure and predicting missing links when degree heterogeneity is present, whereas performance is on par for data with no degree heterogeneity within clusters. On seven real networks (with no ground truth group structure available) we show that predictive performance is about equal whether or not degree correction is included; however, for some networks significantly fewer clusters are discovered when correcting for degree indicating that the data can be more compactly explained by clusters of heterogenous degree nodes.Comment: Originally presented at the Complex Networks workshop NIPS 201

Loan maturity aggregation in interbank lending networks obscures mesoscale structure and economic functions

Since the 2007-2009 financial crisis, substantial academic effort has been dedicated to improving our understanding of interbank lending networks (ILNs). Because of data limitations or by choice, the literature largely lacks multiple loan maturities. We employ a complete interbank loan contract dataset to investigate whether maturity details are informative of the network structure. Applying the layered stochastic block model of Peixoto (2015) and other tools from network science on a time series of bilateral loans with multiple maturity layers in the Russian ILN, we find that collapsing all such layers consistently obscures mesoscale structure. The optimal maturity granularity lies between completely collapsing and completely separating the maturity layers and depends on the development phase of the interbank market, with a more developed market requiring more layers for optimal description. Closer inspection of the inferred maturity bins associated with the optimal maturity granularity reveals specific economic functions, from liquidity intermediation to financing. Collapsing a network with multiple underlying maturity layers or extracting one such layer, common in economic research, is therefore not only an incomplete representation of the ILN's mesoscale structure, but also conceals existing economic functions. This holds important insights and opportunities for theoretical and empirical studies on interbank market functioning, contagion, stability, and on the desirable level of regulatory data disclosure

Topological Feature Based Classification

There has been a lot of interest in developing algorithms to extract clusters or communities from networks. This work proposes a method, based on blockmodelling, for leveraging communities and other topological features for use in a predictive classification task. Motivated by the issues faced by the field of community detection and inspired by recent advances in Bayesian topic modelling, the presented model automatically discovers topological features relevant to a given classification task. In this way, rather than attempting to identify some universal best set of clusters for an undefined goal, the aim is to find the best set of clusters for a particular purpose. Using this method, topological features can be validated and assessed within a given context by their predictive performance. The proposed model differs from other relational and semi-supervised learning models as it identifies topological features to explain the classification decision. In a demonstration on a number of real networks the predictive capability of the topological features are shown to rival the performance of content based relational learners. Additionally, the model is shown to outperform graph-based semi-supervised methods on directed and approximately bipartite networks.Comment: Awarded 3rd Best Student Paper at 14th International Conference on Information Fusion 201

Latent space models for multidimensional network data

Network data are any relational data recorded among a group of individuals, the nodes. When multiple relations are recorded among the same set of nodes, a more complex object arises, which we refer to as “multidimensional network”, or “multiplex”, where different relations corresponding to different networks. In the past, statistical analysis of networks has mainly focused on single-relation network data, referring to a single relation of interest. Only in recent years statistical models specifically tailored for multiplex data begun to be developed. In this context, only a few works have been introduced in the literature with the aim at extending the latent space modeling framework to multiplex data. Such framework postulates that nodes may be characterized by latent positions in a p-dimensional Euclidean space and that the presence/absence of an edge between any two nodes depends on such positions. When considering multidimensional network data, latent space models can help capture the associations between the nodes and summarize the observed structure in the different networks composing a multiplex. This dissertation discusses some latent space models for multidimensional network data, to account for different features that observed multiplex data may present. A first proposal allows to jointly represent the different networks into a single latent space, so that average similarities between the nodes may be captured as proximities in such space. A second work introduces a class of latent space models with node-specific effects, in order to deal with different degrees of heterogeneity within and between networks in multiplex data, corresponding to different types of node-specific behaviours. A third work addresses the issue of clustering of the nodes in the latent space, a frequently observed feature in many real world network and multidimensional network data. Here, clusters of nodes in the latent space correspond to communities of nodes in the multiplex. The proposed models are illustrated both via simulation studies and real world applications, to study their perfomances and abilities