Clustering Vector Autoregressive Models: Capturing Qualitative Differences in Within-Person Dynamics
نویسندگان
چکیده
In psychology, studying multivariate dynamical processes within a person is gaining ground. An increasingly often used method is vector autoregressive (VAR) modeling, in which each variable is regressed on all variables (including itself) at the previous time points. This approach reveals the temporal dynamics of a system of related variables across time. A follow-up question is how to analyze data of multiple persons in order to grasp similarities and individual differences in within-person dynamics. We focus on the case where these differences are qualitative in nature, implying that subgroups of persons can be identified. We present a method that clusters persons according to their VAR regression weights, and simultaneously fits a shared VAR model to all persons within a cluster. The performance of the algorithm is evaluated in a simulation study. Moreover, the method is illustrated by applying it to multivariate time series data on depression-related symptoms of young women.
منابع مشابه
A Joint Semantic Vector Representation Model for Text Clustering and Classification
Text clustering and classification are two main tasks of text mining. Feature selection plays the key role in the quality of the clustering and classification results. Although word-based features such as term frequency-inverse document frequency (TF-IDF) vectors have been widely used in different applications, their shortcoming in capturing semantic concepts of text motivated researches to use...
متن کاملComparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in Iran
This paper has two aims. The first is forecasting inflation in Iran using Macroeconomic variables data in Iran (Inflation rate, liquidity, GDP, prices of imported goods and exchange rates) , and the second is comparing the performance of forecasting vector auto regression (VAR), Bayesian Vector-Autoregressive (BVAR), GARCH, time series and neural network models by which Iran's inflation is for...
متن کاملTwo dynamic regimes in the human gut microbiome
The gut microbiome is a dynamic system that changes with host development, health, behavior, diet, and microbe-microbe interactions. Prior work on gut microbial time series has largely focused on autoregressive models (e.g. Lotka-Volterra). However, we show that most of the variance in microbial time series is non-autoregressive. In addition, we show how community state-clustering is flawed whe...
متن کاملVolatility Dynamics in Foreign Exchange Rates: Further Evidence from Malaysian Ringgit and Singapore Dollar
The volatility dynamics of foreign exchanges have been the focus of research since Bollerslev’s (1986) seminal work on the generalized autoregressive conditional heteroscedasticity (GARCH) modelling. Several well-established empirical regularities may be highlighted as follows: [a] evidence of volatility clustering is detected in the exchange rates returns; [b] asymmetric effects in exchange ra...
متن کاملVector Autoregressive Model Selection: Gross Domestic Product and Europe Oil Prices Data Modelling
We consider the problem of model selection in vector autoregressive model with Normal innovation. Tests such as Vuong's and Cox's tests are provided for order and model selection, i.e. for selecting the order and a suitable subset of regressors, in vector autoregressive model. We propose a test as a modified log-likelihood ratio test for selecting subsets of regressors. The Europe oil prices, ...
متن کامل