Transition Matrix Estimation in High Dimensional Time Series

Fang Han, Han Liu

Research output: Contribution to conferencePaperpeer-review

18 Scopus citations

Abstract

In this paper, we propose a new method in estimating transition matrices of high dimensional vector autoregressive (VAR) models. Here the data are assumed to come from a stationary Gaussian VAR time series. By formulating the problem as a linear program, we provide a new approach to conduct inference on such models. In theory, under a doubly asymptotic framework in which both the sample size T and dimensionality d of the time series can increase (with possibly d ≫ T), we provide explicit rates of convergence between the estimator and the population transition matrix under different matrix norms. Our results show that the spectral norm of the transition matrix plays a pivotal role in determining the final rates of convergence. This is the first work analyzing the estimation of transition matrices under a high dimensional doubly asymptotic framework. Experiments are conducted on both synthetic and real-world stock data to demonstrate the effectiveness of the proposed method compared with the existing methods. The results of this paper have broad impact on different applications, including finance, genomics, and brain imaging.

Original languageEnglish (US)
Pages831-839
Number of pages9
StatePublished - Jan 1 2013
Event30th International Conference on Machine Learning, ICML 2013 - Atlanta, GA, United States
Duration: Jun 16 2013Jun 21 2013

Other

Other30th International Conference on Machine Learning, ICML 2013
CountryUnited States
CityAtlanta, GA
Period6/16/136/21/13

All Science Journal Classification (ASJC) codes

  • Human-Computer Interaction
  • Sociology and Political Science

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