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Erschienen in:
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2019 | OriginalPaper | Buchkapitel

3. Dimension Reduction in High Dimensional Multivariate Time Series Analysis

verfasst von : William W. S. Wei

Erschienen in: Contemporary Biostatistics with Biopharmaceutical Applications

Verlag: Springer International Publishing

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Abstract

The vector autoregressive (VAR) and vector autoregressive moving average (VARMA) models have been widely used to model multivariate time series, because of their capability to represent the dynamic relationships among variables in a system and their usefulness in forecasting unknown future values. However, when the dimension is very high, the number of parameters often exceed the number of available observations, and it is impossible to estimate the parameters. A suitable solution is clearly needed. After introducing some existing methods, we will suggest the use of contemporal aggregation as a dimension reduction method, which is very natural and simple to use. We will compare our proposed method with other existing methods in terms of forecast accuracy through both simulations and empirical examples. The presentation is based on the invited talk at the 2017 ICSA Applied Statistics Symposium in Chicago.

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Metadaten
Titel
Dimension Reduction in High Dimensional Multivariate Time Series Analysis
verfasst von
William W. S. Wei
Copyright-Jahr
2019
Buch
Contemporary Biostatistics with Biopharmaceutical Applications

Print ISBN: 978-3-030-15309-0

Electronic ISBN: 978-3-030-15310-6

Copyright-Jahr: 2019

DOI
https://doi.org/10.1007/978-3-030-15310-6_3