Bayesian Fused Lasso regression for dynamic binary networks

TL;DR

This paper introduces a Bayesian fused lasso approach for dynamic binary network link prediction, capturing change points and promoting sparsity with efficient algorithms, demonstrated on simulated and real financial data.

Contribution

It develops a novel Bayesian fused lasso model for dynamic binary networks, integrating change point detection and efficient estimation algorithms.

Findings

Effective in identifying change points in network structure.

Performs well on simulated and real financial network data.

Provides computationally efficient algorithms for large-scale networks.

Abstract

We propose a multinomial logistic regression model for link prediction in a time series of directed binary networks. To account for the dynamic nature of the data we employ a dynamic model for the model parameters that is strongly connected with the fused lasso penalty. In addition to promoting sparseness, this prior allows us to explore the presence of change points in the structure of the network. We introduce fast computational algorithms for estimation and prediction using both optimization and Bayesian approaches. The performance of the model is illustrated using simulated data and data from a financial trading network in the NYMEX natural gas futures market. Supplementary material containing the trading network data set and code to implement the algorithms is available online.