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An autocovariance-based learning framework for high-dimensional functional time series

Chang, Jinyuan, Chen, Cheng, Qiao, Xinghao ORCID: 0000-0002-6546-6595 and Yao, Qiwei ORCID: 0000-0003-2065-8486 (2023) An autocovariance-based learning framework for high-dimensional functional time series. Journal of Econometrics. ISSN 0304-4076

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Identification Number: 10.1016/j.jeconom.2023.01.007

Abstract

Many scientific and economic applications involve the statistical learning of high-dimensional functional time series, where the number of functional variables is comparable to, or even greater than, the number of serially dependent functional observations. In this paper, we model observed functional time series, which are subject to errors in the sense that each functional datum arises as the sum of two uncorrelated components, one dynamic and one white noise. Motivated from the fact that the autocovariance function of observed functional time series automatically filters out the noise term, we propose a three-step framework by first performing autocovariance-based dimension reduction, then formulating a novel autocovariance-based block regularized minimum distance estimation to produce block sparse estimates, and based on which obtaining the final functional sparse estimates. We investigate theoretical properties of the proposed estimators, and illustrate the proposed estimation procedure with the corresponding convergence analysis via three sparse high-dimensional functional time series models. We demonstrate via both simulated and real datasets that our proposed estimators significantly outperform their competitors.

Item Type: Article
Official URL: https://www.sciencedirect.com/journal/journal-of-e...
Additional Information: © 2023 The Authors
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C50 - General
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C13 - Estimation
C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Date Deposited: 17 Jan 2023 09:54
Last Modified: 23 Feb 2024 18:54
URI: http://eprints.lse.ac.uk/id/eprint/117910

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