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Transition Matrix Estimation in High Dimensiona...

Transition Matrix Estimation in High Dimensional Time Series.

Elizabeth Ramirez

June 27, 2019
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  1. whoami Electrical Engineer Digital Signal Processing Applied Mathematician Computational Science

    and Engineering Applied Scientist Commodities. Spend a lot of my time worrying about how to process remote sensing data computationally efficient.
  2. what is a transition matrix Matrix whose product with the

    initial state vector produces the state vector at a later time. This is not the same as a stochastic matrix, which represents the transition probabilities in a Markov chain. The transition matrix is TIME INVARIANT.
  3. what is a vector autoregressive (VAR) model Model that capture

    linear interdependencies among mutivariable timeseries. Each variable evolves based on its own lagged values, lagged values of other variables and error terms.
  4. what is spectral norm The maximum singular value of a

    matrix, i.e. maximum scale by which the matrix can stretch a vector. A.K.A. natural norm induced by L2-norm
  5. what is a stationary process Stochastic process in whose unconditional

    joint probability distribution does not change when shifted in time, i.e. mean and variance don't change over time. As you might imagine, many stochastic processes are non-stationary, but as we do in CSE world: non-linear becomes linear non-stationary becomes stationary Most common cause of stationarity violation: trend
  6. what is marginal / lagged covariance Marginal: the opposite to

    conditional. Direct representation of the covariance of the timeseries, without the effects of other variables. Relies on the marginal distribution of the variables. Lagged: Covariance of time series with time-lagged time series
  7. why we wanna estimate a transition matrix. You might know

    the equations that govern your system. If you know the dynamics of your system you should be able to calculate your matrix in a closed form. If you have non-linearities in your system you try to linearize and calculate the matrix. But if you HAVE NO IDEA of the dynamics of your system, you need a good estimator.
  8. what we want to prove 1) The error of the

    proposed method calculating the transition matrix of a VAR model is smaller than the one obtained using LSE and ridge/lasso penalty 2) Than this error is bounded