Tests for Independence of High-Dimensional Nonstationary Time Series
高维非平稳时间序列的独立性检验
Yunyi Zhang
AI总结 提出一种双模态加权平均检验统计量,无需预白化即可检验高维非平稳时间序列的独立性,并开发了依赖野刀切法进行推断。
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本文研究了两个高维时间序列之间的独立性检验问题,不假设弱平稳性,即允许其自协方差随时间变化。为此,我们提出了一种双模态加权平均检验统计量,该统计量在原假设下消除了时间依赖性引起的偏差,从而避免了在假设检验前对时间序列进行白化——这一过程在高维和非平稳设置中具有挑战性。为了促进统计推断,我们开发了一种依赖野刀切法。在理论方面,我们推导了一类高维、非线性、非平稳过程的时间序列数据二次型的集中不等式。这一结果使我们能够推导出所提检验统计量的渐近零分布,并建立刀切算法的有效性。数值结果表明,即使当维度超过样本量或数据生成过程表现出时变自协方差时,所提检验也能达到所需的尺寸和良好的功效性能。相比之下,基于白化时间序列的检验在存在不稳定的自协方差结构时无法保持正确的尺寸。由于非平稳自协方差在现实时间序列数据中普遍存在,我们的工作为独立性检验提供了一种稳健的方法。
This manuscript studies the problem of independence testing between two high-dimensional time series without assuming weak stationarity, that is, allowing their autocovariances to vary over time. To this end, we propose a bimodal weighted-average test statistic that removes the bias induced by temporal dependence under the null hypothesis, thereby avoiding the need to whiten the time series prior to hypothesis testing -- a procedure that is challenging in high-dimensional and nonstationary settings. To facilitate statistical inference, we develop a dependent wild bootstrap procedure. On the theoretical side, we derive a concentration inequality for quadratic forms of time series data stemming from a class of high-dimensional, nonlinear, and nonstationary processes. This result enables us to derive the asymptotic null distribution of the proposed test statistic and to establish the validity of the bootstrap algorithm. Numerical results show that the proposed test attains desired size and good power performance even when the dimension exceeds the sample size or when the data-generating process exhibits time-varying autocovariances. In contrast, tests based on whitening time series fail to maintain correct size in the presence of unstable autocovariance structures. Since nonstationary autocovariances commonly arise in real-life time series data, our work offers a robust procedure for independence testing.