A Functional Coefficients Network Autoregressive Model

Abstract

The paper introduces a flexible model for the analysis of multivariate nonlinear time series data. The proposed Functional Coefficients Network Autoregressive (FCNAR) model considers the response of each node in the network to depend in a nonlinear fashion to each own past values (autoregressive component), as well as past values of each neighbor (network component). Key issues of model stability/stationarity, together with model parameter identifiability, estimation and inference are addressed for error processes that can be heavier than Gaussian for both fixed and growing number of network nodes. The performance of the estimators for the FCNAR model is assessed on synthetic data and the applicability of the model is illustrated on multiple indicators of air pollution data.