Non-Parametric Sparse Additive Auto-Regressive Network Models

DOI10.1109/TIT.2018.2849988MaRDI QIDQ4629910zbMATH OpenOpenAlexWikidataFDO

Authors Hao Henry Zhou, Garvesh Raskutti

Publication date 28 March 2019

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.07644

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12) Markov processes: estimation; hidden Markov models (62M05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: Consider a multi-variate time series $(X_t{)}_{t=0}^T$ where $X_{t}inmathbb{R}^d$ which may represent spike train responses for multiple neurons in a brain, crime event data across multiple regions, and many others. An important challenge associated with these time series models is to estimate an influence network between the $d$ variables, especially when the number of variables $d$ is large meaning we are in the high-dimensional setting. Prior work has focused on parametric vector auto-regressive models. However, parametric approaches are somewhat restrictive in practice. In this paper, we use the non-parametric sparse additive model (SpAM) framework to address this challenge. Using a combination of $$ and $phi$-mixing properties of Markov chains and empirical process techniques for reproducing kernel Hilbert spaces (RKHSs), we provide upper bounds on mean-squared error in terms of the sparsity $s$, logarithm of the dimension $logd$, number of time points $T$, and the smoothness of the RKHSs. Our rates are sharp up to logarithm factors in many cases. We also provide numerical experiments that support our theoretical results and display potential advantages of using our non-parametric SpAM framework for a Chicago crime dataset.

Cited in

(4)

• High dimensional generalized linear models for temporal dependent data
• Finite sample theory for high-dimensional functional/scalar time series with applications
• Operator-valued kernel-based vector autoregressive models for network inference
• Simultaneous Decorrelation of Matrix Time Series

This page was built for publication: Non-Parametric Sparse Additive Auto-Regressive Network Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4629910)