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

DOI10.1111/JTSA.12466MaRDI QIDQ5377201zbMATH OpenOpenAlexWikidataFDO

Authors Zhaoxing Gao, Ruey S. Tsay

Publication date 23 May 2019

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

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

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)

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.

Recommendations

• Factor modelling for high-dimensional time series: inference and model selection
• Modeling High-Dimensional Time Series: A Factor Model With Dynamically Dependent Factors and Diverging Eigenvalues
• Modelling high-dimensional time series by generalized linear dynamic factor models: an introductory survey
• Factor models in high-dimensional time series: A time-domain approach
• Factor models in high-dimensional time series -- a time-domain approach

Cites work

• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 4135256 (Why is no real title available?)
• scientific article; zbMATH DE number 1432780 (Why is no real title available?)
• A canonical analysis of multiple time series
• Banded spatio-temporal autoregressions
• Determining the Number of Factors in Approximate Factor Models
• Estimation of latent factors for high-dimensional time series
• Extended BIC for linear regression models with diverging number of relevant features and high or ultra-high feature spaces
• Extracting a common stochastic trend: theory with some applications
• Factor modeling for high-dimensional time series: inference for the number of factors
• Forecasting Using Principal Components From a Large Number of Predictors
• Forecasting time series with complex seasonal patterns using exponential smoothing
• GMM estimation of spatial autoregressive models with unknown heteroskedasticity
• High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
• Modelling multiple time series via common factors
• Multivariate time series analysis. With R and financial applications
• New introduction to multiple time series analysis.
• Nonstationary dynamic factor analysis
• Quasi-maximum likelihood estimators for spatial dynamic panel data with fixed effects when both \(n\) and \(T\) are large
• Semiparametric GMM estimation of spatial autoregressive models
• Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances
• Spectral Analysis of Seasonal Adjustment Procedures
• The analysis of seasonal economic models

Cited in

(5)

• Identification of Shared Components in Large Ensembles of Time Series Using Dimension Reduction
• Robust factor modelling for high-dimensional time series: an application to air pollution data
• 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

This page was built for publication: A structural-factor approach to modeling high-dimensional time series and space-time data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5377201)