Estimation and inference for precision matrices of nonstationary time series

DOI10.1214/19-AOS1894MaRDI QIDQ2215745zbMATH OpenFDO

Authors Xiucai Ding, Zhou Zhou

Publication date 14 December 2020

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.01188, https://projecteuclid.org/euclid.aos/1597370680

zbMATH Keywords

sieve estimationCholesky decompositionrandom matricesnonstationary time serieshigh-dimensional Gaussian approximationprecision matriceswhite noise and bandedness tests

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this paper, we consider the estimation and inference of precision matrices of a rich class of locally stationary and nonlinear time series assuming that only one realization of the time series is observed. Using a Cholesky decomposition technique, we show that the precision matrices can be directly estimated via a series of least squares linear regressions with smoothly time-varying coefficients. The method of sieves is utilized for the estimation and is shown to be efficient and optimally adaptive in terms of estimation accuracy and computational complexity. We establish an asymptotic theory for a class of ${calL}^2$ tests based on the nonparametric sieve estimators. The latter are used for testing whether the precision matrices are diagonal or banded. A high dimensional Gaussian approximation result is established for a wide class of quadratic form of non-stationary and nonlinear processes, which is of interest by itself.

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Cited in

(12)

• Inference for high‐dimensional linear models with locally stationary error processes
• Multivariate functional response low‐rank regression with an application to brain imaging data
• Covariance and precision matrix estimation for high-dimensional time series
• Inverse covariance operators of multivariate nonstationary time series
• Local Whittle estimation of high-dimensional long-run variance and precision matrices
• Graphical models for nonstationary time series
• Random matrix models for datasets with fixed time horizons
• Autoregressive approximations to nonstationary time series with inference and applications
• Estimation of high-dimensional dynamic conditional precision matrices with an application to forecast combination
• Regularized Estimation of Linear Functionals of Precision Matrices for High-Dimensional Time Series
• StarTrek: combinatorial variable selection with false discovery rate control
• Estimation of banded time-varying precision matrix based on SCAD and group Lasso

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