arXiv subjects

Shuvrarghya Ghosh

Publications and source records attributed to Shuvrarghya Ghosh.

2 recordsLinked to original sources

arXiv2025

Bayesian Graphical High-Dimensional Time Series Models for Detecting Structural Changes

We study the structural changes in multivariate time-series by estimating and comparing stationary graphs for macroeconomic time series before and after an economic crisis such as the Great Recession. Building on a latent time series framework called Orthogonally-rotated Univariate Time-series (OUT), we propose a shared-parameter framework-the spOUT autoregressive model (spOUTAR)-that jointly models two related multivariate time series and enables coherent Bayesian estimation of their corresponding stationary precision matrices. This framework provides a principled mechanism to detect and quantify which conditional relationships among the variables changed, or formed following the crisis. Specifically, we study the impact of the Great Recession (December 2007-June 2009) that substantially disrupted global and national economies, prompting long-lasting shifts in macroeconomic indicators and their interrelationships. While many studies document its economic consequences, far less is known about how the underlying conditional dependency structure among economic variables changed as economies moved from pre-crisis stability through the shock and back to normalcy. Using the proposed approach to analyze U.S. and OECD macroeconomic data, we demonstrate that spOUTAR effectively captures recession-induced changes in stationary graphical structure, offering a flexible and interpretable tool for studying structural shifts in economic systems.

stat.ME↗

arXiv2024

Bayesian Semi-supervised Multi-category Classification under Nonparanormality

Semi-supervised learning is a model training method that uses both labeled and unlabeled data. This paper proposes a fully Bayes semi-supervised learning algorithm that can be applied to any multi-category classification problem. We assume the labels are missing at random when using unlabeled data in a semi-supervised setting. Suppose we have $K$ classes in the data. We assume that the observations follow $K$ multivariate normal distributions depending on their true class labels after some common unknown transformation is applied to each component of the observation vector. The function is expanded in a B-splines series, and a prior is added to the coefficients. We consider a normal prior on the coefficients and constrain the values to meet the normality and identifiability constraints requirement. The precision matrices of the Gaussian distributions are given a conjugate Wishart prior, while the means are given the improper uniform prior. The resulting posterior is still conditionally conjugate, and the Gibbs sampler aided by a data-augmentation technique can thus be adopted. An extensive simulation study compares the proposed method with several other available methods. The proposed method is also applied to real datasets on diagnosing breast cancer and classification of signals. We conclude that the proposed method has a better prediction accuracy in various cases.

stat.ML↗