Subgrouping with Chain Graphical VAR Models

Recent years have seen the emergence of an "idio-thetic" class of methods to bridge the gap between nomothetic and idiographic inference. These methods describe nomothetic trends in idiographic processes by pooling intraindividual information across individuals to inform group-level inference or vice versa. The current work introduces a novel "idio-thetic" model: the subgrouped chain graphical vector autoregression (scGVAR). The scGVAR is unique in its ability to identify subgroups of individuals who share common dynamic network structures in both lag(1) and contemporaneous effects. Results from Monte Carlo simulations indicate that the scGVAR shows promise over similar approaches when clusters of individuals differ in their contemporaneous dynamics and in showing increased sensitivity in detecting nuanced group differences while keeping Type-I error rates low. In contrast, a competing approach-the Alternating Least Squares VAR (ALS VAR) performs well when groups were separated by larger distances. Further considerations are provided regarding applications of the ALS VAR and scGVAR on real data and the strengths and limitations of both methods.