Robust Inference of Dynamic Covariance Using Wishart Processes and Sequential Monte Carlo

Several disciplines, such as econometrics, neuroscience, and computational psychology, study the dynamic interactions between variables over time. A Bayesian nonparametric model known as the Wishart process has been shown to be effective in this situation, but its inference remains highly challenging. In this work, we introduce a Sequential Monte Carlo (SMC) sampler for the Wishart process, and show how it compares to conventional inference approaches, namely MCMC and variational inference. Using simulations we show that SMC sampling results in the most robust estimates and out-of-sample predictions of dynamic covariance. SMC especially outperforms the alternative approaches when using composite covariance functions with correlated parameters. We demonstrate the practical applicability of our proposed approach on a dataset of clinical depression (n=1), and show how using an accurate representation of the posterior distribution can be used to test for dynamics on covariance

Hierarchical Bayesian Regression for Multi-Site Normative Modeling of Neuroimaging Data

Clinical neuroimaging has recently witnessed explosive growth in data availability which brings studying heterogeneity in clinical cohorts to the spotlight. Normative modeling is an emerging statistical tool for achieving this objective. However, its application remains technically challenging due to difficulties in properly dealing with nuisance variation, for example due to variability in image acquisition devices. Here, in a fully probabilistic framework, we propose an application of hierarchical Bayesian regression (HBR) for multi-site normative modeling. Our experimental results confirm the superiority of HBR in deriving more accurate normative ranges on large multi-site neuroimaging data compared to widely used methods. This provides the possibility i) to learn the normative range of structural and functional brain measures on large multi-site data; ii) to recalibrate and reuse the learned model on local small data; therefore, HBR closes the technical loop for applying normative modeling as a medical tool for the diagnosis and prognosis of mental disorders.