Spatio‐temporal models for big multinomial data using the conditional multivariate logit‐beta distribution

Jonathan R. Bradley, Christopher K. Wikle and Scott H. Holan

Journal of Time Series Analysis, 2019, vol. 40, issue 3, 363-382

Abstract: We introduce a Bayesian approach for analyzing high‐dimensional multinomial data that are referenced over space and time. In particular, the proportions associated with multinomial data are assumed to have a logit link to a latent spatio‐temporal mixed effects model. This strategy allows for covariances that are nonstationarity in both space and time, asymmetric, and parsimonious. We also introduce the use of the conditional multivariate logit‐beta distribution into the dependent multinomial data setting, which leads to conjugate full‐conditional distributions for use in a collapsed Gibbs sampler. We refer to this model as the multinomial spatio‐temporal mixed effects model (MN‐STM). Additionally, we provide methodological developments including: the derivation of the associated full‐conditional distributions, a relationship with a latent Gaussian process model, and the stability of the non‐stationary vector autoregressive model. We illustrate the MN‐STM through simulations and through a demonstration with public‐use quarterly workforce indicators data from the longitudinal employer household dynamics program of the US Census Bureau.

Date: 2019
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