Distributed estimation and inference for spatial autoregression model with large scale networks
大规模网络空间自回归模型的分布式估计与推断AI 解读 ↓
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大规模网络空间自回归模型的分布式估计与推断AI 解读 ↓
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The rapid growth of online network platforms generates large-scale network data and it poses great challenges for statistical analysis using the spatial autoregression (SAR) model. In this work, we develop a novel distributed estimation and statistical inference framework for the SAR model on a distributed system. We first propose a distributed network least squares approximation (DNLSA) method. This enables us to obtain a one-step estimator by taking a weighted average of local estimators on each worker. Afterwards, a refined two-step estimation is designed to further reduce the estimation bias. For statistical inference, we utilize a random projection method to reduce the expensive communication cost. Theoretically, we show the consistency and asymptotic normality of both the one-step and two-step estimators. In addition, we provide theoretical guarantee of the distributed statistical inference procedure. The theoretical findings and computational advantages are validated by several numerical simulations implemented on the Spark system. Lastly, an experiment on the Yelp dataset further illustrates the usefulness of the proposed methodology.
Comparing dependence structures between two related multivariate time series is of fundamental interest in many scientific applications, where changes may occur in both directed temporal interactions and contemporaneous connectivity. Modeling each time series by a vector autoregressive (VAR) model, we propose a new framework for estimation and inference of differential Granger causality (DiffGC) and differential network (DiffNet) structures in high dimensions. The proposed…
网络中的动态创新传导:理论、大 T 推断与滞后投入产出转换下的商业周期
I develop an econometric framework that rationalizes the dynamics of a cross-sectional variable by lagged transmissions of innovations along bilateral links between units. While nesting the Spatial Autoregression and Spatial Error Model as limits and producing equivalent impulse-responses in the long run, the Network-Vector-Autoregression (NVAR) I propose can accommodate general transmission patterns over time and yields "networked" transition dynamics distinct from those…
分位数网络向量自回归中的双向同质性分组
We propose a two-way grouped network quantile (TGNQ) autoregression model for time series data observed on networks with substantial heterogeneity and complex directional interactions. Motivated by prior studies on network effects in directed networks, our model assigns each node two latent group memberships to flexibly capture asymmetric and heterogeneous interactions among users. These memberships, along with model parameters, can be consistently estimated using the…
分位数网络向量自回归中的双向同质性分组
We propose a two-way grouped network quantile (TGNQ) autoregression model for time series data observed on networks with substantial heterogeneity and complex directional interactions. Motivated by prior studies on network effects in directed networks, our model assigns each node two latent group memberships to flexibly capture asymmetric and heterogeneous interactions among users. These memberships, along with model parameters, can be consistently estimated using the…
具有动态异质溢出的矩阵值空间自回归
We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series, heterogeneous spillover effects, outlier robustness, and time-varying parameters in one unified framework. The model allows for separate dynamic spatial spillover effects across both the row and column dimensions of the matrix-valued observations. Robustness can be introduced via a matrix Student’s t distribution. The model can still be estimated…
具有分组边效应的降秩网络自回归
We propose the Edge-Grouped Reduced-Rank Network Autoregressive model (Edge-Grouped RRNAR) for multivariate time series observed over a network. The model allows transmission effects to vary across prespecified and economically interpretable groups of edges, while using a low-rank structure to capture cross-variable dynamics. This structure separates where network transmission occurs from which variables transmit and respond. We develop a topology-aware and block-specific…