High-dimensional latent Gaussian count time series: Concentration results for autocovariances and applications

arXiv2301.00491MaRDI QIDQ6422280FDOQ6422280

Marie-Christine Düker, Vladas Pipiras, Robert Lund

Publication date: 1 January 2023

Abstract: This work considers stationary vector count time series models defined via deterministic functions of a latent stationary vector Gaussian series. The construction is very general and ensures a pre-specified marginal distribution for the counts in each dimension, depending on unknown parameters that can be marginally estimated. The vector Gaussian series injects flexibility into the model's temporal and cross-dimensional dependencies, perhaps through a parametric model akin to a vector autoregression. We show that the latent Gaussian model can be estimated by relating the covariances of the counts and the latent Gaussian series. In a possibly high-dimensional setting, concentration bounds are established for the differences between the estimated and true latent Gaussian autocovariances, in terms of those for the observed count series and the estimated marginal parameters. The results are applied to the case where the latent Gaussian series is a vector autoregression, and its parameters are estimated sparsely through a LASSO-type procedure.

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