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2019 Testing for high-dimensional network parameters in auto-regressive models
Lili Zheng, Garvesh Raskutti
Electron. J. Statist. 13(2): 4977-5043 (2019). DOI: 10.1214/19-EJS1646


High-dimensional auto-regressive models provide a natural way to model influence between $M$ actors given multi-variate time series data for $T$ time intervals. While there has been considerable work on network estimation, there is limited work in the context of inference and hypothesis testing. In particular, prior work on hypothesis testing in time series has been restricted to linear Gaussian auto-regressive models. From a practical perspective, it is important to determine suitable statistical tests for connections between actors that go beyond the Gaussian assumption. In the context of high-dimensional time series models, confidence intervals present additional estimators since most estimators such as the Lasso and Dantzig selectors are biased which has led to de-biased estimators. In this paper we address these challenges and provide convergence in distribution results and confidence intervals for the multi-variate AR(p) model with sub-Gaussian noise, a generalization of Gaussian noise that broadens applicability and presents numerous technical challenges. The main technical challenge lies in the fact that unlike Gaussian random vectors, for sub-Gaussian vectors zero correlation does not imply independence. The proof relies on using an intricate truncation argument to develop novel concentration bounds for quadratic forms of dependent sub-Gaussian random variables. Our convergence in distribution results hold provided $T=\Omega((s\vee \rho)^{2}\log^{2}M)$, where $s$ and $\rho$ refer to sparsity parameters which matches existed results for hypothesis testing with i.i.d. samples. We validate our theoretical results with simulation results for both block-structured and chain-structured networks.


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Lili Zheng. Garvesh Raskutti. "Testing for high-dimensional network parameters in auto-regressive models." Electron. J. Statist. 13 (2) 4977 - 5043, 2019.


Received: 1 December 2018; Published: 2019
First available in Project Euclid: 12 December 2019

zbMATH: 07147370
MathSciNet: MR4041701
Digital Object Identifier: 10.1214/19-EJS1646


Vol.13 • No. 2 • 2019
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