| _version_ | 1866901197674250240 |
|---|---|
| author | Stærk-Østergaard, Jacob Rahbek, Anders Ditlevsen, Susanne |
| author_facet | Stærk-Østergaard, Jacob Rahbek, Anders Ditlevsen, Susanne |
| contents | <p>This paper presents a novel estimator for a nonstandard restriction to both symmetry and low rank in the context of high-dimensional cointegrated processes. Furthermore, we discuss rank estimation for high-dimensional cointegrated processes by restricted bootstrapping of the Gaussian innovations. We demonstrate that the classical <em>rank test</em> for cointegrated systems is prone to underestimating the true rank and demonstrate this effect in a 100-dimensional system. We also discuss the implications of this underestimation for such high-dimensional systems in general. Also, we define a linearized Kuramoto system and present a simulation study, where we infer the cointegration rank of the unrestricted system and successively the underlying clustered network structure based on a graphical approach and a symmetrized low rank estimator of the couplings derived from a reparametrization of the likelihood under this unusual restriction.</p> |
| format | Recurso digital |
| id | zenodo_https___doi_org_10_1137_22M1509771 |
| institution | Zenodo |
| language | eng |
| publishDate | 2024 |
| publisher | Zenodo |
| record_format | zenodo |
| spellingShingle | High-Dimensional Cointegration and Kuramoto Inspired Systems Stærk-Østergaard, Jacob Rahbek, Anders Ditlevsen, Susanne <p>This paper presents a novel estimator for a nonstandard restriction to both symmetry and low rank in the context of high-dimensional cointegrated processes. Furthermore, we discuss rank estimation for high-dimensional cointegrated processes by restricted bootstrapping of the Gaussian innovations. We demonstrate that the classical <em>rank test</em> for cointegrated systems is prone to underestimating the true rank and demonstrate this effect in a 100-dimensional system. We also discuss the implications of this underestimation for such high-dimensional systems in general. Also, we define a linearized Kuramoto system and present a simulation study, where we infer the cointegration rank of the unrestricted system and successively the underlying clustered network structure based on a graphical approach and a symmetrized low rank estimator of the couplings derived from a reparametrization of the likelihood under this unusual restriction.</p> |
| title | High-Dimensional Cointegration and Kuramoto Inspired Systems |
| url | https://doi.org/10.1137/22M1509771 |