期刊
ANNALS OF STATISTICS
卷 49, 期 3, 页码 1267-1299出版社
INST MATHEMATICAL STATISTICS-IMS
DOI: 10.1214/20-AOS1992
关键词
Bayesian variable selection; vector autoregression; pseudo-likelihood; strong selection consistency; high-dimensional data
资金
- NSF [DMS 1821220, DMS 1830175, IIS 1632730]
- NIH [5R01GM11402905]
This study introduces a pseudo-likelihood based Bayesian approach for consistent variable selection in high-dimensional VAR models, and demonstrates strong selection consistency of the proposed method. The research has significant implications for understanding the behavior of VAR models in high-dimensional settings.
Vector autoregressive (VAR) models aim to capture linear temporal interdependencies among multiple time series. They have been widely used in macroeconomics and financial econometrics and more recently have found novel applications in functional genomics and neuroscience. These applications have also accentuated the need to investigate the behavior of the VAR model in a high-dimensional regime, which will provide novel insights into the role of temporal dependence for regularized estimates of the models parameters. However, hardly anything is known regarding posterior model selection consistency for Bayesian VAR models in such regimes. In this work, we develop a pseudo-likelihood based Bayesian approach for consistent variable selection in high-dimensional VAR models by considering hierarchical normal priors on the autoregressive coefficients, as well as on the model space. We establish strong selection consistency of the proposed method, namely that the posterior probability assigned to the true underlying VAR model converges to one under high-dimensional scaling where the dimension p of the VAR system grows nearly exponentially with the sample size n. Further, the result is established under mild regularity conditions on the problem parameters. Finally, as a by-product of these results, we also establish strong selection consistency for the sparse high-dimensional linear regression model with serially correlated regressors and errors.
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