High dimensional VAR with low rank transition
Alquier, Pierre, Bertin, Karine, Doukhan, Paul, Garnier, Rémy
We propose a vector auto-regressive (VAR) model with a low-rank constraint on the transition matrix. This new model is well suited to predict high-dimensional series that are highly correlated, or that are driven by a small number of hidden factors. We study estimation, prediction, and rank selection for this model in a very general setting. Our method shows excellent performances on a wide variety of simulated datasets. On macro-economic data from Giannone et al. (2015), our method is competitive with state-of-the-art methods in small dimension, and even improves on them in high dimension.
May-2-2019
- Country:
- Europe > United Kingdom
- England
- Cambridgeshire > Cambridge (0.04)
- Oxfordshire > Oxford (0.04)
- England
- North America > United States
- New York (0.04)
- Europe > United Kingdom
- Genre:
- Research Report > Promising Solution (0.34)
- Industry:
- Banking & Finance > Economy (0.66)
- Technology: