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Multiple time series of scalp electrical potential activity are generated routinely in electroencephalographic (EEG) studies. Such recordings provide important non-invasive data about brain function in human neuropsychiatric disorders. Analyses of EEG traces aim to isolate characteristics of their spatiotemporal dynamics that may be useful in diagnosis, or may improve the understanding of the underlying neurophysiology or may improve treatment through identifying predictors and indicators of clinical outcomes. We discuss the development and application of nonstationary time series models for multiple EEG series generated from individual subjects in a clinical neuropsychiatric setting. The subjects are depressed patients experiencing generalized tonic±clonic seizures elicited by electroconvulsive therapy (ECT) as antidepressant treatment. Two varieties of models Ð dynamic latent factor models and dynamic regression models Ð are introduced and studied. We discuss model motivation and form, and aspects of statistical analysis including parameter identi®ability, posterior inference and implementation of these models via Markov chain Monte Carlo techniques. In an application to the analysis of a typical set of 19 EEG series recorded during an ECT seizure at different locations over a patient's scalp, these models reveal time-varying features across the series that are strongly related to the placement of the electrodes. We illustrate various model outputs, the exploration of such time-varying spatial structure and its relevance in the ECT study, and in basic EEG research in general.

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