Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userSeparation of uncorrelated stationary time series using autocovariance matrices
155
0
0.0
(
0
)
Added by
Jari Miettinen
Publication date
2014
fields
Mathematical Statistics
and research's language is
English
Ask ChatGPT about the research
No Arabic abstract
Blind source separation (BSS) is a signal processing tool, which is widely used in various fields. Examples include biomedical signal separation, brain imaging and economic time series applications. In BSS, one assumes that the observed $p$ time series are linear combinations of $p$ latent uncorrelated weakly stationary time series. The aim is then to find an estimate for an unmixing matrix, which transforms the observed time series back to uncorrelated latent time series. In SOBI (Second Order Blind Identification) joint diagonalization of the covariance matrix and autocovariance matrices with several lags is used to estimate the unmixing matrix. The rows of an unmixing matrix can be derived either one by one (deflation-based approach) or simultaneously (symmetric approach). The latter of these approaches is well-known especially in signal processing literature, however, the rigorous analysis of its statistical properties has been missing so far. In this paper, we fill this gap and investigate the statistical properties of the symmetric SOBI estimate in detail and find its limiting distribution under general conditions. The asymptotical efficiencies of symmetric SOBI estimate are compared to those of recently introduced deflation-based SOBI estimate under general multivariate MA$(infty)$ processes. The theory is illustrated by some finite-sample simulation studies as well as a real EEG data example.
rate research
Read More
We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when the sample size n increases. We give a short overview of the literature on the topic both in the light- and heavy-tailed cases when the data have finite (infinite) fourth moment, respectively. Our main focus is on the heavytailed case. In this case, one has a theory for the point process of the normalized eigenvalues of the sample covariance matrix in the iid case but also when rows and columns of the data are linearly dependent. We provide limit results for the weak convergence of these point processes to Poisson or cluster Poisson processes. Based on this convergence we can also derive the limit laws of various function als of the ordered eigenvalues such as the joint convergence of a finite number of the largest order statistics, the joint limit law of the largest eigenvalue and the trace, limit laws for successive ratios of ordered eigenvalues, etc. We also develop some limit theory for the singular values of the sample autocovariance matrices and their sums of squares. The theory is illustrated for simulated data and for the components of the S&P 500 stock index.
The problem of constructing a simultaneous confidence band for the mean function of a locally stationary functional time series $ { X_{i,n} (t) }_{i = 1, ldots, n}$ is challenging as these bands can not be built on classical limit theory. On the one hand, for a fixed argument $t$ of the functions $ X_{i,n}$, the maximum absolute deviation between an estimate and the time dependent regression function exhibits (after appropriate standardization) an extreme value behaviour with a Gumbel distribution in the limit. On the other hand, for stationary functional data, simultaneous confidence bands can be built on classical central theorems for Banach space valued random variables and the limit distribution of the maximum absolute deviation is given by the sup-norm of a Gaussian process. As both limit theorems have different rates of convergence, they are not compatible, and a weak convergence result, which could be used for the construction of a confidence surface in the locally stationary case, does not exist. In this paper we propose new bootstrap methodology to construct a simultaneous confidence band for the mean function of a locally stationary functional time series, which is motivated by a Gaussian approximation for the maximum absolute deviation. We prove the validity of our approach by asymptotic theory, demonstrate good finite sample properties by means of a simulation study and illustrate its applicability analyzing a data example.
We consider the sparse principal component analysis for high-dimensional stationary processes. The standard principal component analysis performs poorly when the dimension of the process is large. We establish the oracle inequalities for penalized principal component estimators for the processes including heavy-tailed time series. The rate of convergence of the estimators is established. We also elucidate the theoretical rate for choosing the tuning parameter in penalized estimators. The performance of the sparse principal component analysis is demonstrated by numerical simulations. The utility of the sparse principal component analysis for time series data is exemplified by the application to average temperature data.
Various nonparametric approaches for Bayesian spectral density estimation of stationary time series have been suggested in the literature, mostly based on the Whittle likelihood approximation. A generalization of this approximation has been proposed in Kirch et al. who prove posterior consistency for spectral density estimation in combination with the Bernstein-Dirichlet process prior for Gaussian time series. In this paper, we will extend the posterior consistency result to non-Gaussian time series by employing a general consistency theorem of Shalizi for dependent data and misspecified models. As a special case, posterior consistency for the spectral density under the Whittle likelihood as proposed by Choudhuri, Ghosal and Roy is also extended to non-Gaussian time series. Small sample properties of this approach are illustrated with several examples of non-Gaussian time series.
Locally stationary Hawkes processes have been introduced in order to generalise classical Hawkes processes away from stationarity by allowing for a time-varying second-order structure. This class of self-exciting point processes has recently attracted a lot of interest in applications in the life sciences (seismology, genomics, neuro-science,...), but also in the modelling of high-frequency financial data. In this contribution we provide a fully developed nonparametric estimation theory of both local mean density and local Bartlett spectra of a locally stationary Hawkes process. In particular we apply our kernel estimation of the spectrum localised both in time and frequency to two data sets of transaction times revealing pertinent features in the data that had not been made visible by classical non-localised approaches based on models with constant fertility functions over time.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
