Computationally Efficient Multivariate Spatio-Temporal Models for High-Dimensional Count-Valued Data. (With Discussion).

Bradley, J.R., S.H. Holan, and C.K. Wikle. Computationally Efficient Multivariate Spatio-Temporal Models for High-Dimensional Count-Valued Data. (With Discussion)., arXiv. 1512.07273, 2017, available at
We introduce a Bayesian approach for multivariate spatio-temporal prediction for high-dimensional count-valued data. Our primary interest is when there are possibly millions of data points referenced over different variables, geographic regions, and times. This problem requires extensive methodological advancements, as jointly modeling correlated data of this size leads to the so-called "big n problem." The computational complexity of prediction in this setting is further exacerbated by acknowledging that count-valued data are naturally non-Gaussian. Thus, we develop a new computationally efficient distribution theory for this setting. In particular, we introduce a multivariate log-gamma distribution and provide substantial theoretical development including: results regarding conditional distributions, marginal distributions, an asymptotic relationship with the multivariate normal distribution, and full-conditional distributions for a Gibbs sampler. To incorporate dependence between variables, regions, and time points, a multivariate spatio-temporal mixed effects model (MSTM) is used. The results in this manuscript are extremely general, and can be used for data that exhibit fewer sources of dependency than what we consider (e.g., multivariate, spatial-only, or spatio-temporal-only data). Hence, the implications of our modeling framework may have a large impact on the general problem of jointly modeling correlated count-valued data. We show the effectiveness of our approach through a simulation study. Additionally, we demonstrate our proposed methodology with an important application analyzing data obtained from the Longitudinal Employer-Household Dynamics (LEHD) program, which is administered by the U.S. Census Bureau.