Seminar: "Non-linear Network Autoregression"

AUEB STATISTICS SEMINAR SERIES NOVEMBER 2022

Κonstantinos Fokianos, Department of Mathematics and Statistics, Cyprus University

Tite: "Non-linear Network Autoregression"

ROOM T106, NEW AUEB BUILDING

ABSTRACT:

We study general nonlinear models for time series networks of integer and continuous valued data. The vector of high dimensional responses, measured on the nodes of a known network, is regressed non-linearly on its lagged value and on lagged values of the connected nodes by employing an appropriate smooth link function. We study stability conditions for such multivariate process and develop quasi maximum likelihood inference when the network dimension is increasing. In addition, under the same setup, we study linearity score tests by treating separately the cases of identifiable and non-identifiable parameters. In the case of identifiability, the test statistic converges to a chisquare distribution. However, when the parameters are not-identifiable, we develop a sup-type test whose p-values are approximated using a feasible bound and bootstrap methodology. Simulations and data examples complement the presentation.

This is a joint work with M. Armillotta.