Variable Selection in Switching Dynamic Regression Models

Abstract

Complex dynamic phenomena in which dynamics is related to events (modes) that cause structural changes over time, are well described by the switching linear dynamical system (SLDS). We extend the SLDS by allowing the measurement noise to be mode-specific, a flexible way to model non stationary data. Additionally, for models that are functions of explanatory variables, we adapt a variable selection method to identify which of them are significant in each mode. Our proposed model is a flexible Bayesian nonparametric model that allows to learn about the number of modes and their location, and within each mode, it identifies the significant variables and estimates the regression coefficients. The model performance is evaluated by simulation and two application examples from a dataset of meteorological time series of Barranquilla, Colombia are presented.