arXiv subjects

Maria F. Pintado

Publications and source records attributed to Maria F. Pintado.

3 recordsLinked to original sources

arXiv2025

Bayesian Markov-Switching Partial Reduced-Rank Regression

Reduced-Rank (RR) regression is a powerful dimensionality reduction technique but it overlooks any possible group configuration among the responses by assuming a low-rank structure on the entire coefficient matrix. Moreover, the temporal change of the relations between predictors and responses in time series induce a possibly time-varying grouping structure in the responses. To address these limitations, a Bayesian Markov-switching partial RR (MS-PRR) model is proposed, where the response vector is partitioned in two groups to reflect different complexity of the relationship. A \textit{simple} group assumes a low-rank linear regression, while a \textit{complex} group exploits nonparametric regression via a Gaussian Process. Differently from traditional approaches, group assignments and rank are treated as unknown parameters to be estimated. Then temporal persistence in the regression function is accounted for by a Markov-switching process that drives the changes in the grouping structure and model parameters over time. Full Bayesian inference is preformed via a partially collapsed Gibbs sampler, which allows uncertainty quantification without the need for trans-dimensional moves. Applications to two real-world macroeconomic and commodity data demonstrate the evidence of time-varying grouping and different degrees of complexity both across states and within each state.

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arXiv2024

Bayesian Partial Reduced-Rank Regression

Reduced-rank (RR) regression may be interpreted as a dimensionality reduction technique able to reveal complex relationships among the data parsimoniously. However, RR regression models typically overlook any potential group structure among the responses by assuming a low-rank structure on the coefficient matrix. To address this limitation, a Bayesian Partial RR (BPRR) regression is exploited, where the response vector and the coefficient matrix are partitioned into low- and full-rank sub-groups. As opposed to the literature, which assumes known group structure and rank, a novel strategy is introduced that treats them as unknown parameters to be estimated. The main contribution is two-fold: an approach to infer the low- and full-rank group memberships from the data is proposed, and then, conditionally on this allocation, the corresponding (reduced) rank is estimated. Both steps are carried out in a Bayesian approach, allowing for full uncertainty quantification and based on a partially collapsed Gibbs sampler. It relies on a Laplace approximation of the marginal likelihood and the Metropolized Shotgun Stochastic Search to estimate the group allocation efficiently. Applications to synthetic and real-world data reveal the potential of the proposed method to reveal hidden structures in the data.

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arXiv2024

Uncertainty Quantification in Bayesian Reduced-Rank Sparse Regressions

Reduced-rank regression recognises the possibility of a rank-deficient matrix of coefficients. We propose a novel Bayesian model for estimating the rank of the coefficient matrix, which obviates the need for post-processing steps and allows for uncertainty quantification. Our method employs a mixture prior on the regression coefficient matrix along with a global-local shrinkage prior on its low-rank decomposition. Then, we rely on the Signal Adaptive Variable Selector to perform sparsification and define two novel tools: the Posterior Inclusion Probability uncertainty index and the Relevance Index. The validity of the method is assessed in a simulation study, and then its advantages and usefulness are shown in real-data applications on the chemical composition of tobacco and on the photometry of galaxies.

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