Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks

34 Pages Posted: 12 Jun 2019

See all articles by Domenico Di Gangi

Domenico Di Gangi

Scuola Normale Superiore

Giacomo Bormetti

University of Bologna - Department of Mathematics

Fabrizio Lillo

Università di Bologna

Date Written: May 26, 2019

Abstract

Motivated by the evidence that real-world networks evolve in time and may exhibit non-stationary features, we propose an extension of the Exponential Random Graph Models (ERGMs) accommodating the time variation of network parameters. Within the ERGM framework, a network realization is sampled from a static probability distribution defined parametrically in terms of network statistics. Inspired by the fast growing literature on Dynamic Conditional Score-driven models, in our approach, each parameter evolves according to an updating rule driven by the score of the conditional distribution. We demonstrate the flexibility of the score-driven ERGMs, both as data generating processes and as filters, and we prove the advantages of the dynamic version with respect to the static one. Our method captures dynamical network dependencies, that emerge from the data, and allows for a test discriminating between static or time-varying parameters. Finally, we corroborate our findings with the application to networks from real financial and political systems exhibiting non stationary dynamics.

Keywords: temporal networks, ERGM, exponential random graphs, score, observation driven, link prediction

Suggested Citation

Di Gangi, Domenico and Bormetti, Giacomo and Lillo, Fabrizio, Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks (May 26, 2019). Available at SSRN: https://ssrn.com/abstract=3394593 or http://dx.doi.org/10.2139/ssrn.3394593

Domenico Di Gangi (Contact Author)

Scuola Normale Superiore ( email )

Piazza dei Cavalieri, 7
Pisa, Pi 56126
Italy

Giacomo Bormetti

University of Bologna - Department of Mathematics ( email )

Piazza di Porta S. Donato , 5
Bologna, Bologna 40126
Italy

Fabrizio Lillo

Università di Bologna ( email )

Via Zamboni, 33
Bologna, 40126
Italy

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