Sliced average variance estimation for multivariate time series

DOI10.1080/02331888.2019.1605515MaRDI QIDQ5742598zbMATH OpenOpenAlexWikidataFDO

Authors Markus Matilainen, Christophe Croux, Klaus Nordhausen, Hannu Oja

Publication date 15 May 2019

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1810.02782

zbMATH Keywords

blind source separationpredictionsupervised dimension reduction

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Estimation in multivariate analysis (62H12) Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Supervised dimension reduction for time series is challenging as there may be temporal dependence between the response $y$ and the predictors $$. Recently a time series version of sliced inverse regression, TSIR, was suggested, which applies approximate joint diagonalization of several supervised lagged covariance matrices to consider the temporal nature of the data. In this paper we develop this concept further and propose a time series version of sliced average variance estimation, TSAVE. As both TSIR and TSAVE have their own advantages and disadvantages, we consider furthermore a hybrid version of TSIR and TSAVE. Based on examples and simulations we demonstrate and evaluate the differences between the three methods and show also that they are superior to apply their iid counterparts to when also using lagged values of the explaining variables as predictors.

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Cited in

(7)

• On the usage of joint diagonalization in multivariate statistics
• Stationary subspace analysis based on second-order statistics
• Robust multiscale estimation of time-average variance for time series segmentation
• Using sliced inverse mean difference for dimension reduction in multivariate time series
• Slicing-free supervised dimension reduction for multivariate time series
• Fourier methods for efficient sufficient dimension reduction in time series
• On the foundational arguments of sufficient dimension reduction

Describes a project that uses

Uses Software

• BSSasymp
• JADE

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