The Hyvärinen scoring rule in Gaussian linear time series models

DOI10.1016/J.JSPI.2020.08.004zbMATH Open1465.62147arXiv1904.12513OpenAlexW3095535930MaRDI QIDQ830689FDOQ830689

Monica Musio, Philip Dawid, Silvia Columbu, Valentina Mameli

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: Likelihood-based estimation methods involve the normalising constant of the model distributions, expressed as a function of the parameter. However in many problems this function is not easily available, and then less efficient but more easily computed estimators may be attractive. In this work we study stationary time-series models, and construct and analyse "score-matching estimators, that do not involve the normalising constant. We consider two scenarios: a single series of increasing length, and an increasing number of independent series of fixed length. In the latter case there are two variants, one based on the full data, and another based on a sufficient statistic. We study the empirical performance of these estimators in three special cases, autoregressive (AR), moving average (MA) and fractionally differenced white noise (ARFIMA) models, and make comparisons with full and pairwise likelihood estimators. The results are somewhat model-dependent, with the new estimators doing well for $MA$ and ARFIMA models, but less so for $AR$ models.

Full work available at URL: https://arxiv.org/abs/1904.12513

zbMATH Keywords

Gaussian linear time seriesscoring rule estimatorsHyvärinen scoring rule

Mathematics Subject Classification ID

Density estimation (62G07) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Gaussian processes (60G15) White noise theory (60H40)

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Uses Software

• R
• numDeriv

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