Low Rank and Structured Modeling of High-Dimensional Vector Autoregressions

DOI10.1109/TSP.2018.2887401MaRDI QIDQ4628274zbMATH OpenWikidataFDO

Authors Sumanta Basu, Xianqi Li, George Michailidis

Publication date 6 March 2019

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.03568

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: Network modeling of high-dimensional time series data is a key learning task due to its widespread use in a number of application areas, including macroeconomics, finance and neuroscience. While the problem of sparse modeling based on vector autoregressive models (VAR) has been investigated in depth in the literature, more complex network structures that involve low rank and group sparse components have received considerably less attention, despite their presence in data. Failure to account for low-rank structures results in spurious connectivity among the observed time series, which may lead practitioners to draw incorrect conclusions about pertinent scientific or policy questions. In order to accurately estimate a network of Granger causal interactions after accounting for latent effects, we introduce a novel approach for estimating low-rank and structured sparse high-dimensional VAR models. We introduce a regularized framework involving a combination of nuclear norm and lasso (or group lasso) penalty. Further, and subsequently establish non-asymptotic upper bounds on the estimation error rates of the low-rank and the structured sparse components. We also introduce a fast estimation algorithm and finally demonstrate the performance of the proposed modeling framework over standard sparse VAR estimates through numerical experiments on synthetic and real data.

Cited in

(23)

• Regularized Estimation in High-Dimensional Vector Auto-Regressive Models Using Spatio-Temporal Information
• Variational Bayesian inference for network autoregression models
• VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
• Identification of low rank vector processes
• Spectral Factorization of Rank-Deficient Rational Densities
• High-dimensional low-rank tensor autoregressive time series modeling
• Tight risk bound for high dimensional time series completion
• High-dimensional VAR with low-rank transition
• High-Dimensional Vector Autoregressive Time Series Modeling via Tensor Decomposition
• The EAS approach for graphical selection consistency in vector autoregression models
• FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
• Extracting a low-dimensional predictable time series
• Estimation of graphical models: an overview of selected topics
• Multiple Change Point Detection in Reduced Rank High Dimensional Vector Autoregressive Models
• Collective Anomaly Detection in High-Dimensional Var Models
• Rate-optimal robust estimation of high-dimensional vector autoregressive models
• Reduced-Rank Envelope Vector Autoregressive Model
• scientific article; zbMATH DE number 7306867 (Why is no real title available?)
• Community network auto-regression for high-dimensional time series
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• High-dimensional structure learning of sparse vector autoregressive models using fractional marginal pseudo-likelihood
• Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
• Multivariate spatiotemporal models with low rank coefficient matrix

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