An autocovariance-based learning framework for high-dimensional functional time series

Jinyuan Chang, Cheng Chen, Xinghao Qiao and Qiwei Yao

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: Many scientific and economic applications involve the statistical learning of high-dimensional functional time series, where the number of functional variables is comparable to, or even greater than, the number of serially dependent functional observations. In this paper, we model observed functional time series, which are subject to errors in the sense that each functional datum arises as the sum of two uncorrelated components, one dynamic and one white noise. Motivated from the fact that the autocovariance function of observed functional time series automatically filters out the noise term, we propose a three-step framework by first performing autocovariance-based dimension reduction, then formulating a novel autocovariance-based block regularized minimum distance estimation to produce block sparse estimates, and based on which obtaining the final functional sparse estimates. We investigate theoretical properties of the proposed estimators, and illustrate the proposed estimation procedure with the corresponding convergence analysis via three sparse high-dimensional functional time series models. We demonstrate via both simulated and real datasets that our proposed estimators significantly outperform their competitors.

Keywords: block regularized minimum distance estimation; dimension reduction; functional time series; high-dimensional data; non-asymptotics; sparsity; 71991472; 72125008; 11871401; EP/V007556/1 (search for similar items in EconPapers)
JEL-codes: C13 C32 C50 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2023-02-23
New Economics Papers: this item is included in nep-ecm
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Published in Journal of Econometrics, 23, February, 2023, 239(2). ISSN: 0304-4076

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:117910

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