RATE-OPTIMAL ROBUST ESTIMATION OF HIGH-DIMENSIONAL VECTOR AUTOREGRESSIVE MODELS

• 成果类型: Article
• 署名作者: Wang, Di; Tsay, Ruey S.
• 署名单位: Shanghai Jiao Tong University; University of Chicago
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/23-AOS2278
• 发表日期: 2023
• 页码: 846-877
• 关键词: oracle inequalities; quantile regression; linear-models; matrix; covariance; shrinkage; variance

摘要

High-dimensional time series data appear in many scientific areas in the current data-rich environment. Analysis of such data poses new challenges to data analysts because of not only the complicated dynamic dependence between the series, but also the existence of aberrant observations, such as missing values, contaminated observations, and heavy-tailed distributions. For high-dimensional vector autoregressive (VAR) models, we introduce a unified estimation procedure that is robust to model misspecification, heavy -tailed noise contamination, and conditional heteroscedasticity. The proposed methodology enjoys both statistical optimality and computational efficiency, and can handle many popular high-dimensional models, such as sparse, reduced-rank, banded, and network-structured VAR models. With proper reg-ularization and data truncation, the estimation convergence rates are shown to be almost optimal in the minimax sense under a bounded (2 + 2 ⠂)th mo-ment condition. When ⠂ > 1, the rates of convergence match those obtained under the sub-Gaussian assumption. Consistency of the proposed estimators is also established for some ⠂ e (0, 1), with minimax optimal convergence rates associated with ⠂. The efficacy of the proposed estimation methods is demonstrated by simulation and a U.S. macroeconomic example.