Stationary subspace analysis of nonstationary covariance processes: eigenstructure description and testing

DOI10.3150/20-BEJ1243MaRDI QIDQ2214252zbMATH OpenFDO

Authors Vladas Pipiras, M. Pourahmadi, Raanju R. Sundararajan

Publication date 7 December 2020

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.09420, https://projecteuclid.org/euclid.bj/1605841249

zbMATH Keywords

dimension testeigen-decompositionlocal and global dimensionsmultivariate nonstationarity

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Sequential statistical analysis (62L10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: Stationary subspace analysis (SSA) searches for linear combinations of the components of nonstationary vector time series that are stationary. These linear combinations and their number defne an associated stationary subspace and its dimension. SSA is studied here for zero mean nonstationary covariance processes. We characterize stationary subspaces and their dimensions in terms of eigenvalues and eigenvectors of certain symmetric matrices. This characterization is then used to derive formal statistical tests for estimating dimensions of stationary subspaces. Eigenstructure-based techniques are also proposed to estimate stationary subspaces, without relying on previously used computationally intensive optimization-based methods. Finally, the introduced methodologies are examined on simulated and real data.

Review text

The following is a summary of the abstract. The authors perform Stationary Subspace Analysis (SSA) for zero mean nonstationary covariance processes. SSA searches for linear combinations of the components of nonstationary vector time series that are stationary. The stationary subspaces and their dimensions are characterized in terms of eigenvalues and eigenvectors of certain symmetric matrices. This characterization is used to derive formal statistical tests for estimating dimensions of stationary subspaces. Eigenstructure-based techniques are also proposed to estimate stationary subspaces, without relying on previously used computationally intensive optimization-based methods. The introduced methodologies are examined on simulated and real data.

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