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Dimension Reduction in High Dimensional Multivariate Time Series Analysis

  • William W. S. WeiEmail author
Chapter
Part of the ICSA Book Series in Statistics book series (ICSABSS)

Abstract

The vector autoregressive (VAR) and vector autoregressive moving average (VARMA) models have been widely used to model multivariate time series, because of their capability to represent the dynamic relationships among variables in a system and their usefulness in forecasting unknown future values. However, when the dimension is very high, the number of parameters often exceed the number of available observations, and it is impossible to estimate the parameters. A suitable solution is clearly needed. After introducing some existing methods, we will suggest the use of contemporal aggregation as a dimension reduction method, which is very natural and simple to use. We will compare our proposed method with other existing methods in terms of forecast accuracy through both simulations and empirical examples. The presentation is based on the invited talk at the 2017 ICSA Applied Statistics Symposium in Chicago.

Keywords

VARMA model Regularization Starma model Clustering High dimension Aggregation 

Notes

Acknowledgments

The author wants to thank his PhD student, Zeda Li, who helped him develop software code for the analyses of many data sets in the presentation.

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Copyright information

© Springer Nature Switzerland AG 2019

Authors and Affiliations

  1. 1.Department of Statistical ScienceTemple UniversityPhiladelphiaUSA

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