Non-stationary continuous dynamic Bayesian networks

NeurIPS 2009  ·  Marco Grzegorczyk, Dirk Husmeier ·

Dynamic Bayesian networks have been applied widely to reconstruct the structure of regulatory processes from time series data. The standard approach is based on the assumption of a homogeneous Markov chain, which is not valid in many real-world scenarios. Recent research efforts addressing this shortcoming have considered undirected graphs, directed graphs for discretized data, or over-flexible models that lack any information sharing between time series segments. In the present article, we propose a non-stationary dynamic Bayesian network for continuous data, in which parameters are allowed to vary between segments, and in which a common network structure provides essential information sharing across segments. Our model is based on a Bayesian change-point process, and we apply a variant of the allocation sampler of Nobile and Fearnside to infer the number and location of the change-points.

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