Open Access
2019 Time series modeling on dynamic networks
Jonas Krampe
Electron. J. Statist. 13(2): 4945-4976 (2019). DOI: 10.1214/19-EJS1642


This paper focuses on modeling the dynamic attributes of a dynamic network with a fixed number of vertices. These attributes are considered as time series which dependency structure is influenced by the underlying network. They are modeled by a multivariate doubly stochastic time series framework, that is we assume linear processes for which the coefficient matrices are stochastic processes themselves. We explicitly allow for dependence in the dynamics of the coefficient matrices as well as between the two stochastic processes driving the time series. This framework allows for a separate modeling of the attributes and the underlying network. In this setting, we define network autoregressive models and discuss their stationarity conditions. Furthermore, an estimation approach is discussed in a low- and high-dimensional setting and how this can be applied to forecasting. The finite sample behavior of the forecast approach is investigated. This approach is applied to real data whereby the goal is to forecast the GDP of $33$ economies.


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Jonas Krampe. "Time series modeling on dynamic networks." Electron. J. Statist. 13 (2) 4945 - 4976, 2019.


Received: 1 July 2018; Published: 2019
First available in Project Euclid: 10 December 2019

zbMATH: 07147369
MathSciNet: MR4040759
Digital Object Identifier: 10.1214/19-EJS1642

Keywords: autoregressive , Dynamic networks , high-dimensional , time series

Vol.13 • No. 2 • 2019
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