Submitted by admin on Mon, 06/10/2024 - 05:00
Fitting multivariate autoregressive (AR) models is fundamental for time-series data analysis in a wide range of applications. This article considers the problem of learning a p-lag multivariate AR model where each time step involves a linear combination of the past p states followed by a probabilistic, possibly nonlinear, mapping to the next state. The problem is to learn the linear connectivity tensor from observations of the states. We focus on the sparse setting, which arises in applications with a limited number of direct connections between variables. For such problems, 11-regularized maximum likelihood estimation (or M-estimation more generally) is often straightforward to apply and works well in practice. However, the analysis of such methods is difficult due to the feedback in the state dynamic and the presence of nonlinearities, especially when the underlying process is non-Gaussian. Our main result provides a bound on the mean-squared error of the estimated connectivity tensor as a function of the sparsity and the number of samples, for a class of discrete multivariate AR models, in the high-dimensional regime. Importantly, the bound indicates that, with sufficient sparsity, consistent estimation is possible in cases where the number of samples is significantly less than the total number of parameters.
Parthe Pandit
Mojtaba Sahraee-Ardakan
Arash A. Amini
Sundeep Rangan
Alyson K. Fletcher