High-dimensional auto-regressive models provide a natural way to model influence between @math actors given multi-variate time series data for @math 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 time series models, confidence intervals present additional estimators since most estimators such as the Lasso and Dantzig selectors are biased which has led to 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 @math , where @math and @math 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.
As mentioned earlier, our work is most closely related to the prior work of @cite_7 , which provides a hypothesis testing framework with high-dimensional Gaussian time series as a special case. In our work, we consider the more general and technically challenging case of sub-Gaussian vector auto-regressive models. Throughout this paper, we provide a comparison to results derived in this work for the Gaussian case.
@cite_7
2143073828 789250018 151863654 1599875939
This paper describes a probabilistic multiple-hypothesis framework for tracking highly articulated objects. In this framework, the probability density of the tracker state is represented as a set of modes with piecewise Gaussians characterizing the neighborhood around these modes. The temporal evolution of the probability density is achieved through sampling from the prior distribution, followed by local optimization of the sample positions to obtain updated modes. This method of generating hypotheses from state-space search does not require the use of discrete features unlike classical multiple-hypothesis tracking. The parametric form of the model is suited for high dimensional state-spaces which cannot be efficiently modeled using non-parametric approaches. Results are shown for tracking Fred Astaire in a movie dance sequence. Time series data mining has received much greater interest along with the increase in temporal data sets from different domains such as medicine, finance, multimedia, etc. Representations are important to reduce dimensionality and generate useful similarity measures. High-level representations such as Fourier transforms, wavelets, piecewise polynomial models, etc., were considered previously. Recently, autoregressive kernels were introduced to reflect the similarity of the time series. We introduce a novel approach to model the dependency structure in time series that generalizes the concept of autoregression to local autopatterns. Our approach generates a pattern-based representation along with a similarity measure called learned pattern similarity (LPS). A tree-based ensemble-learning strategy that is fast and insensitive to parameter settings is the basis for the approach. Then, a robust similarity measure based on the learned patterns is presented. This unsupervised approach to represent and measure the similarity between time series generally applies to a number of data mining tasks (e.g., clustering, anomaly detection, classification). Furthermore, an embedded learning of the representation avoids pre-defined features and an extraction step which is common in some feature-based approaches. The method generalizes in a straightforward manner to multivariate time series. The effectiveness of LPS is evaluated on time series classification problems from various domains. We compare LPS to eleven well-known similarity measures. Our experimental results show that LPS provides fast and competitive results on benchmark datasets from several domains. Furthermore, LPS provides a research direction and template approach that breaks from the linear dependency models to potentially foster other promising nonlinear approaches. We consider the problem of finding rules relating patterns in a time series to other patterns in that series, or patterns in one series to patterns in another series. A simple example is a rule such as "a period of low telephone call activity is usually followed by a sharp rise in call volume". Examples of rules relating two or more time series are "if the Microsoft stock price goes up and Intel falls, then IBM goes up the next day," and "if Microsoft goes up strongly for one day, then declines strongly on the next day, and on the same days Intel stays about level, then IBM stays about level." Our emphasis is in the discovery of local patterns in multivariate time series, in contrast to traditional time series analysis which largely focuses on global models. Thus, we search for rules whose conditions refer to patterns in time series. However, we do not want to define beforehand which patterns are to be used; rather, we want the patterns to be formed from the data in the context of rule discovery. We describe adaptive methods for finding rules of the above type from time-series data. The methods are based on discretizing the sequence by methods resembling vector quantization. We first form subsequences by sliding a window through the time series, and then cluster these subsequences by using a suitable measure of time-series similarity. The discretized version of the time series is obtained by taking the cluster identifiers corresponding to the subsequence. Once the time-series is discretized, we use simple rule finding methods to obtain rules from the sequence. We present empirical results on the behavior of the method. This paper proposes a unified framework to quantify local and global inferential uncertainty for high dimensional nonparanormal graphical models. In particular, we consider the problems of testing the presence of a single edge and constructing a uniform confidence subgraph. Due to the presence of unknown marginal transformations, we propose a pseudo likelihood based inferential approach. In sharp contrast to the existing high dimensional score test method, our method is free of tuning parameters given an initial estimator, and extends the scope of the existing likelihood based inferential framework. Furthermore, we propose a U-statistic multiplier bootstrap method to construct the confidence subgraph. We show that the constructed subgraph is contained in the true graph with probability greater than a given nominal level. Compared with existing methods for constructing confidence subgraphs, our method does not rely on Gaussian or sub-Gaussian assumptions. The theoretical properties of the proposed inferential methods are verified by thorough numerical experiments and real data analysis.