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Forecasting Time Series with VARMA Recursions on Graphs

Author

Listed:
  • Elvin Isufi
  • Andreas Loukas
  • Nathanael Perraudin
  • Geert Leus

Abstract

Graph-based techniques emerged as a choice to deal with the dimensionality issues in modeling multivariate time series. However, there is yet no complete understanding of how the underlying structure could be exploited to ease this task. This work provides contributions in this direction by considering the forecasting of a process evolving over a graph. We make use of the (approximate) time-vertex stationarity assumption, i.e., timevarying graph signals whose first and second order statistical moments are invariant over time and correlated to a known graph topology. The latter is combined with VAR and VARMA models to tackle the dimensionality issues present in predicting the temporal evolution of multivariate time series. We find out that by projecting the data to the graph spectral domain: (i) the multivariate model estimation reduces to that of fitting a number of uncorrelated univariate ARMA models and (ii) an optimal low-rank data representation can be exploited so as to further reduce the estimation costs. In the case that the multivariate process can be observed at a subset of nodes, the proposed models extend naturally to Kalman filtering on graphs allowing for optimal tracking. Numerical experiments with both synthetic and real data validate the proposed approach and highlight its benefits over state-of-the-art alternatives.

Suggested Citation

  • Elvin Isufi & Andreas Loukas & Nathanael Perraudin & Geert Leus, 2018. "Forecasting Time Series with VARMA Recursions on Graphs," Papers 1810.08581, arXiv.org, revised Jul 2019.
  • Handle: RePEc:arx:papers:1810.08581
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    References listed on IDEAS

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    1. Ledoit, Olivier & Wolf, Michael, 2004. "A well-conditioned estimator for large-dimensional covariance matrices," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 365-411, February.
    2. Carl Eckart & Gale Young, 1936. "The approximation of one matrix by another of lower rank," Psychometrika, Springer;The Psychometric Society, vol. 1(3), pages 211-218, September.
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    Cited by:

    1. Hu, Yuntong & Xiao, Fuyuan, 2022. "An efficient forecasting method for time series based on visibility graph and multi-subgraph similarity," Chaos, Solitons & Fractals, Elsevier, vol. 160(C).
    2. Taewoon Kong & Dongguen Choi & Geonseok Lee & Kichun Lee, 2021. "Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series," Sustainability, MDPI, vol. 13(3), pages 1-17, January.
    3. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.

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