Inference of high-dimensional linear models with time-varying coefficients

DOI10.5705/SS.202015.0202MaRDI QIDQ4602125zbMATH OpenOpenAlexFDO

Authors Xiaohui Chen, Yifeng He

Publication date 26 January 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.03909, http://hdl.handle.net/2142/102452

zbMATH Keywords

asymptotic theoryhigh-dimensional linear modelsstatistical inferencetime series analysistime-varying coefficients

Mathematics Subject Classification ID

Density estimation (62G07) Ridge regression; shrinkage estimators (Lasso) (62J07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: We propose a pointwise inference algorithm for high-dimensional linear models with time-varying coefficients. The method is based on a novel combination of the nonparametric kernel smoothing technique and a Lasso bias-corrected ridge regression estimator. Due to the non-stationarity feature of the model, dynamic bias-variance decomposition of the estimator is obtained. With a bias-correction procedure, the local null distribution of the estimator of the time-varying coefficient vector is characterized for iid Gaussian and heavy-tailed errors. The limiting null distribution is also established for Gaussian process errors, and we show that the asymptotic properties differ between short-range and long-range dependent errors. Here, p-values are adjusted by a Bonferroni-type correction procedure to control the familywise error rate (FWER) in the asymptotic sense at each time point. The finite sample size performance of the proposed inference algorithm is illustrated with synthetic data and an application to learn brain connectivity by using the resting-state fMRI data for Parkinson's disease.

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• Simultaneous inference of linear models with time varying coefficients
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