High-Dimensional Cointegration and Kuramoto Inspired Systems

DOI10.1137/22M1509771arXiv2208.06819WikidataQ130004138 ScholiaQ130004138MaRDI QIDQ6144491FDOQ6144491

Authors: Anders Rahbek, Susanne Ditlevsen 

Publication date: 29 January 2024

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

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.

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

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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)

Cites Work

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

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