Abstract:Time series data arising in many applications nowadays are high-dimensional. A large number of parameters describe features of these time series. We propose a novel approach to modeling a high-dimensional time series through several independent univariate time series, which are then orthogonally rotated and sparsely linearly transformed. With this approach, any specified intrinsic relations among component time series given by a graphical structure can be maintained at all time snapshots. We call the resulting process an Orthogonally-rotated Univariate Time series (OUT). Key structural properties of time series such as stationarity and causality can be easily accommodated in the OUT model. For Bayesian inference, we put suitable prior distributions on the spectral densities of the independent latent times series, the orthogonal rotation matrix, and the common precision matrix of the component times series at every time point. A likelihood is constructed using the Whittle approximation for univariate latent time series. An efficient Markov Chain Monte Carlo (MCMC) algorithm is developed for posterior computation. We study the convergence of the pseudo-posterior distribution based on the Whittle likelihood for the model's parameters upon developing a new general posterior convergence theorem for pseudo-posteriors. We find that the posterior contraction rate for independent observations essentially prevails in the OUT model under very mild conditions on the temporal dependence described in terms of the smoothness of the corresponding spectral densities. Through a simulation study, we compare the accuracy of estimating the parameters and identifying the graphical structure with other approaches. We apply the proposed methodology to analyze a dataset on different industrial components of the US gross domestic product between 2010 and 2019 and predict future observations.
From: Arkaprava Roy [view email]
[v1]
Thu, 7 Mar 2024 22:01:13 UTC (1,014 KB)
[v2]
Fri, 19 Jul 2024 13:54:03 UTC (1,014 KB)
[v3]
Tue, 20 Aug 2024 23:38:25 UTC (1,014 KB)
[v4]
Sun, 23 Aug 2026 15:40:07 UTC (450 KB)
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