High-Dimensional Cointegration and Kuramoto Inspired Systems

DOI10.1137/22M1509771MaRDI QIDQ6144491zbMATH OpenWikidataFDO

Authors Anders Rahbek, Susanne Ditlevsen

Publication date 29 January 2024

Published in SIAM Journal on Applied Dynamical Systems (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2208.06819

zbMATH Keywords

bootstrapcointegrationhigh-dimensionaldynamical systemstochastic processKuramoto

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Nonlinear oscillations and coupled oscillators for ordinary differential equations (34C15) Generation, random and stochastic difference and differential equations (37H10) Simulation of dynamical systems (37M05)

Abstract: This paper presents a novel estimator for a non-standard restriction to both symmetry and low rank in the context of high dimensional cointegrated processes. Furthermore, we discuss rank estimation for high dimensional cointegrated processes by restricted bootstrapping of the Gaussian innovations. We demonstrate that the classical rank test for cointegrated systems is prone to underestimate the true rank and demonstrate this effect in a 100 dimensional system. We also discuss the implications of this underestimation for such high dimensional systems in general. Also, we define a linearized Kuramoto system and present a simulation study, where we infer the cointegration rank of the unrestricted $pimesp$ system and successively the underlying clustered network structure based on a graphical approach and a symmetrized low rank estimator of the couplings derived from a reparametrization of the likelihood under this unusual restriction.

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Cites work

• Alternative asymptotics for cointegration tests in large VARs
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Chemical oscillations, waves, and turbulence
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Oscillating systems with cointegrated phase processes
• Some Metric Inequalities in the Space of Matrices
• Structured low rank approximation

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