Time series modeling on dynamic networks
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Publication:2283569
DOI10.1214/19-EJS1642zbMATH Open1434.62188arXiv1807.01133MaRDI QIDQ2283569FDOQ2283569
Authors: Jonas Krampe 
Publication date: 3 January 2020
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Abstract: This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled by a multivariate doubly stochastic time series framework, that is we assume linear processes for which the coefficient matrices are stochastic processes themselves. We explicitly allow for dependence in the dynamics of the coefficient matrices as well as between these two stochastic processes. This framework allows for a separate modeling of the attributes and the underlying network. In this setting, we define network autoregressive models and discuss their stationarity conditions. Furthermore, an estimation approach is discussed in a low- and high-dimensional setting and how this can be applied to forecasting. The finite sample behavior of the forecast approach is investigated. This approach is applied to real data whereby the goal is to forecast the GDP of 33 economies.
Full work available at URL: https://arxiv.org/abs/1807.01133
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Stochastic network models in operations research (90B15)
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Cited In (8)
- Some recent trends in embeddings of time series and dynamic networks
- Grouped network vector autoregression
- On the exploration of time-varying networks
- Network vector autoregression with individual effects
- Dynamic chain graph models for time series network data
- The dynamic factor network model with an application to international trade
- Modeling Time-Varying Random Objects and Dynamic Networks
- Time scale modeling of sparse dynamic networks
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