Tractable Bayesian Inference of Time-Series Dependence Structure

We consider the problem of Bayesian inference of graphical structure describing the interactions among multiple vector time-series. A directed temporal interaction model is presented which assumes a fixed dependence structure among time-series. Using a conjugate prior over this model’s structure and parameters, we focus our attention on characterizing the exact posterior uncertainty in the structure given data. The model is extended via the introduction of a dynamically evolving latent variable which indexes dependence structures over time. Performing inference using this model yields promising results when analyzing the interaction of multiple tracked moving objects.