Title: Gaussian variational approximation for high-dimensional state space models
Authors: Matias Quiroz - University of New South Wales (Australia) [presenting]
David Nott - National University of Singapore (Singapore)
Robert Kohn - University of New South Wales (Australia)
Abstract: Variational approximations of the posterior distribution in a high-dimensional state space model are considered. The variational approximation is a multivariate Gaussian density, in which the variational parameters to be optimized are a mean vector and a covariance matrix. The number of parameters in the covariance matrix grows as the square of the number of model parameters, so it is necessary to find simple yet effective parametrizations of the covariance structure when the number of model parameters is large. The joint posterior distribution over the high-dimensional state vectors is approximated using a dynamic factor model, with Markovian dependence in time and a factor covariance structure for the states. This gives a reduced dimension description of the dependence structure for the states, as well as a temporal conditional independence structure similar to that in the true posterior. We illustrate our approach in two high-dimensional applications which are challenging for Markov chain Monte Carlo sampling. The first is a spatio-temporal model for the spread of the Eurasian Collared-Dove across North America. The second is a multivariate stochastic volatility model for financial returns via a Wishart process.