Hierarchical dynamic PARCOR models for analysis of multiple brain signals

We present an eﬃcient hierarchical model for inferring latent structure underlying multiple non-stationary time series. The proposed model describes the time-varying behavior of multiple time series in the partial autocorrelation domain, which results in a lower dimensional representation, and consequently computationally faster inference, than those required by models in the time and/or frequency domains, such as time-varying autoregressive models, which are commonly used in practice. We illustrate the performance of the proposed hierarchical dynamic PARCOR models and corresponding Bayesian inferential procedures in the context of analyzing multiple brain signals recorded simultaneously during speciﬁc experimental settings or clinical studies. The proposed approach allows us to eﬃciently obtain posterior summaries of the time-frequency characteristics of the multiple time series, as well as those summarizing their common underlying structure.