Abstract:

The objective of transfer learning is to enhance estimation and inference in a target data by leveraging knowledge gained from additional sources. Recent studies have explored transfer learning for independent observations in complex, high-dimensional models assuming sparsity, yet research on time series models remains limited. Our focus is on transfer learning for sequences of observations with temporal dependencies and a more intricate model parameter structure. Specifically, we investigate the vector autoregressive model (VAR), a widely recognized model for time series data, where the transition matrix can be deconstructed into a combination of a sparse matrix and a low-rank one. We propose a new transfer learning algorithm tailored for estimating high-dimensional VAR models characterized by low-rank and sparse structures. Additionally, we present a novel approach for selecting informative observations from auxiliary datasets. Theoretical guarantees are established, encompassing model parameter consistency, informative set selection, and the asymptotic distribution of estimators under mild conditions. The latter facilitates the construction of entry-wise confidence intervals for model parameters. Finally, we demonstrate the empirical efficacy of our methodologies through both simulated and real-world datasets.



Short Bio:

Dr. Safikhani is currently an assistant professor in the department of statistics at George Mason University. He received his PhD from the department of statistics and probability, Michigan State University. Prior to GMU, he has held positions at Columbia University and University of Florida. His main research interests include network modeling, high-dimensional statistics, spatio-temporal models, transfer learning, change point detection, and applications in urban planning, neuroscience, and smart cities. His research has been supported by NSF. He is currently an associate editor for Technometrics, Statistica Sinica, and Data Science in Science.