Statistical Inference for High-Dimensional Vector Autoregression with Measurement Error
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Publication:134115
DOI10.48550/ARXIV.2009.08011arXiv2009.08011OpenAlexW3085311148WikidataQ114013792 ScholiaQ114013792MaRDI QIDQ134115FDOQ134115
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)
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.
Full work available at URL: https://arxiv.org/abs/2009.08011
vector autoregressionbrain network analysiscovariance inferenceexpectation-maximizationglobal testingsimultaneous testing
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