A structural-factor approach to modeling high-dimensional time series and space-time data

DOI10.1111/JTSA.12466zbMATH Open1412.62117arXiv1808.06518OpenAlexW2921720134WikidataQ128131613 ScholiaQ128131613MaRDI QIDQ5377201FDOQ5377201

Authors: Zhaoxing Gao, Ruey S. Tsay 

Publication date: 23 May 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: This paper considers a structural-factor approach to modeling high-dimensional time series and space-time data by decomposing individual series into trend, seasonal, and irregular components. For ease in analyzing many time series, we employ a time polynomial for the trend, a linear combination of trigonometric series for the seasonal component, and a new factor model for the irregular components. The new factor model can simplify the modeling process and achieve parsimony in parameterization. We propose a Bayesian Information Criterion (BIC) to consistently determine the order of the polynomial trend and the number of trigonometric functions. A test statistic is used to determine the number of common factors. The convergence rates for the estimators of the trend and seasonal components and the limiting distribution of the test statistic are established under the setting that the number of time series tends to infinity with the sample size, but at a slower rate. We use simulation to study the performance of the proposed analysis in finite samples and apply the proposed approach to two real examples. The first example considers modeling weekly PM${}_{2.5}$ data of 15 monitoring stations in the southern region of Taiwan and the second example consists of monthly value-weighted returns of 12 industrial portfolios.

Full work available at URL: https://arxiv.org/abs/1808.06518

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zbMATH Keywords

trendfactor modelseasonalitycanonical correlation analysishigh-dimensional time seriesBayesian information criterionspace-time dataPM\(_{2.5}\)

Mathematics Subject Classification ID

Bayesian inference (62F15) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited In (4)

• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• Comprehensive interval-valued time series model with application to the S\&P 500 index and PM2.5 level data analysis
• Computer Vision - ECCV 2004
• Smoothness prior approach to explore mean structure in large-scale time series

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