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High-dimensional cointegration and Kuramoto inspired systems. (English) Zbl 1535.37061

Summary: 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 rank test 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 \(p\times p\) 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.

MSC:

37H10 Generation, random and stochastic difference and differential equations
34C15 Nonlinear oscillations and coupled oscillators for ordinary differential equations
37M05 Simulation of dynamical systems
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P10 Applications of statistics to biology and medical sciences; meta analysis
62P20 Applications of statistics to economics
62H10 Multivariate distribution of statistics
62H15 Hypothesis testing in multivariate analysis

References:

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