Abstract

Many scientific and economic applications involve the analysis of high-dimensional functional time series, which stands at the intersection between functional time series and high-dimensional statistics gathering challenges of infinite-dimensionality with serial dependence and non-asymptotics. 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 a simple fact that the autocovariance function of observed functional time series automatically filters out the noise term, we propose an autocovariance-based three-step procedure by first performing autocovariance-based dimension reduction and then formulating a novel autocovariance-based block regularized minimum distance (RMD) estimation framework to produce block sparse estimates, from which we can finally recover functional sparse estimates. We investigate non-asymptotic properties of relevant estimated terms under such autocovariance-based dimension reduction framework. To provide theoretical guarantees for the second step, we also present convergence analysis of the block RMD estimator. Finally, we illustrate the proposed autocovariance-based learning framework using applications of three sparse high-dimensional functional time series models. With derived theoretical results, we study convergence properties of the associated estimators. We demonstrate via simulated and real datasets that our proposed estimators significantly outperform the competitors.

Xinghao Qiao is an assistant professor of Statistics at London School of Economics. He received his BSc in Mathematics and Physics from Tsinghua University, China and PhD in Business Statistics from University of Southern California. His primary research interests include functional data analysis, time series analysis, high dimensional statistics and Bayesian nonparametrics.

Link to personal website: http://personal.lse.ac.uk/qiaox/

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