Modelling dense relational data

Tue Herlau, Morten Mørup, Mikkel N. Schmidt, Lars Kai Hansen

Abstract: Relational modelling classically consider sparse and discrete data. Measures of influence computed pairwise between temporal sources naturally give rise to dense continuous-valued matrices, for instance p-values from Granger causality. Due to asymmetry or lack of positive definiteness they are not naturally suited for kernel K-means. We propose a generative Bayesian model for dense matrices which generalize kernel K-means to consider off-diagonal interactions in matrices of interactions, and demonstrate its ability to detect structure on both artificial data and two real data sets.