Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error

DOI10.48550/ARXIV.2009.08011MaRDI QIDQ134115zbMATH OpenOpenAlexWikidataFDO

Authors Xiang Lyu, Jian Kang, Lexin Li, Jian Kang, Lexin Li

Publication date 17 September 2020

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2009.08011

zbMATH Keywords

vector autoregressionbrain network analysiscovariance inferenceexpectation-maximizationglobal testingsimultaneous testing

Mathematics Subject Classification ID

Statistics (62-XX)

Abstract: High-dimensional vector autoregression with measurement error is frequently encountered in a large variety of scientific and business applications. In this article, we study statistical inference of the transition matrix under this model. While there has been a large body of literature studying sparse estimation of the transition matrix, there is a paucity of inference solutions, especially in the high-dimensional scenario. We develop inferential procedures for both the global and simultaneous testing of the transition matrix. We first develop a new sparse expectation-maximization algorithm to estimate the model parameters, and carefully characterize their estimation precisions. We then construct a Gaussian matrix, after proper bias and variance corrections, from which we derive the test statistics. Finally, we develop the testing procedures and establish their asymptotic guarantees. We study the finite-sample performance of our tests through intensive simulations, and illustrate with a brain connectivity analysis example.

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Cited in

(2)

• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• hdiVAR

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