A Markov-switching dynamic matrix factor model for the high-dimensional matrix time series
高维矩阵时间序列的马尔可夫转换动态矩阵因子模型AI 解读 ↓
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高维矩阵时间序列的马尔可夫转换动态矩阵因子模型AI 解读 ↓
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In this study, we propose a novel model called the Markov-switching dynamic matrix factor (Ms-DMF) model, which serves the dual purpose of structural interpretation and prediction for high-dimensional matrix time series. When estimating the parameters of the Ms-DMF model, an EM (expectation maximization) algorithm was used to get a quasi-maximum likelihood estimation, where all the parameters are estimated jointly. A filtering and smoothing algorithm is used to compute the posterior expectations corresponding to the latent regimes and factors. The consistency, convergence rates, and limit distributions of the estimated parameters are established under mild conditions. The effectiveness of this estimation method is also validated by rigorous numerical simulations. Furthermore, we apply the Ms-DMF model to an international trade flow network. Compared to existing matrix factor models, our approach not only identifies the main import and export centers, but also recognizes the trade cycles between these centers. This provides profound insights and analytical capabilities to advance research in the field of international trade.
We present new results for the likelihood‐based analysis of the dynamic factor model. The latent factors are modelled by linear dynamic stochastic processes. The idiosyncratic disturbance series are specified as autoregressive processes with mutually correlated innovations. The new results lead to computationally efficient procedures for the estimation of the factors and for the parameter estimation by maximum likelihood methods. We also present the implications of our…
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We introduce a class of Bayesian dynamic factor models for matrix-valued time series, with autoregressive factor dynamics and idiosyncratic components that allow stochastic volatility, outliers, and a Kronecker-structured covariance capturing cross-row and cross-column correlation. Exploiting the matrix structure, we make these richly parameterized models tractable in high dimensions and develop an efficient Gibbs sampler for estimation. For model comparison, we propose a…
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–We propose FNETS, a methodology for network estimation and forecasting of high-dimensional time series exhibiting strong serial- and cross-sectional correlations. We operate under a factor-adjusted vector autoregressive (VAR) model which, after accounting for pervasive co-movements of the variables by common factors, models the remaining idiosyncratic dynamic dependence between the variables as a sparse VAR process. Network estimation of FNETS consists of three steps: (i)…
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The proliferation of mobile devices has led to the collection of large amounts of population data. This situation has prompted the need to utilize this rich, multidimensional data in practical applications. In response to this trend, we have integrated functional data analysis (FDA) and factor analysis to address the challenge of predicting hourly population changes across various districts in Tokyo. Specifically, by assuming a Gaussian process, we avoided the large…
高维低秩张量自回归时间序列建模
Modern technological advances have enabled an unprecedented amount of structured data with complex temporal dependence, urging the need for new methods to efficiently model and forecast high-dimensional tensor-valued time series. This paper provides a new modeling framework to accomplish this task via autoregression (AR). By considering a low-rank Tucker decomposition for the transition tensor, the proposed tensor AR can flexibly capture the underlying low-dimensional tensor…