Autoregressive approximations to nonstationary time series with inference and applications

DOI10.1214/23-AOS2288MaRDI QIDQ6136588zbMATH OpenFDO

Authors Xiucai Ding, Zhou Zhou

Publication date 31 August 2023

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

Full work available at URL https://arxiv.org/abs/2112.00693, https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-3/AutoRegressive-approximations-to-nonstationary-time-series-with-inference-and-applications/10.1214/23-AOS2288.full

zbMATH Keywords

AR approximationglobally optimal forecastinghigh-dimensional convex Gaussian approximationmultiplier bootstrapnonstationary time series

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: Understanding the time-varying structure of complex temporal systems is one of the main challenges of modern time series analysis. In this paper, we show that every uniformly-positive-definite-in-covariance and sufficiently short-range dependent non-stationary and nonlinear time series can be well approximated globally by a white-noise-driven auto-regressive (AR) process of slowly diverging order. To our best knowledge, it is the first time such a structural approximation result is established for general classes of non-stationary time series. A high dimensional $mathcal{L}^2$ test and an associated multiplier bootstrap procedure are proposed for the inference of the AR approximation coefficients. In particular, an adaptive stability test is proposed to check whether the AR approximation coefficients are time-varying, a frequently-encountered question for practitioners and researchers of time series. As an application, globally optimal short-term forecasting theory and methodology for a wide class of locally stationary time series are established via the method of sieves.

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