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Transition Matrix Estimation in High Dimensional Time Series

Author(s): Han, F; Liu, H

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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, 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.
Publication Date: 2013
Citation: Han, Fang, and Han Liu. "Transition Matrix Estimation in High Dimensional Time Series." In Proceedings of the 30th International Conference on Machine Learning, PMLR 28, 2 (2013): pp. 172-180.
ISSN: 2640-3498
Pages: 172 - 180
Type of Material: Conference Article
Journal/Proceeding Title: Proceedings of the 30th International Conference on Machine Learning, PMLR
Version: Final published version. Article is made available in OAR by the publisher's permission or policy.

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