Seminar on Probability and Statistics

Seminar information archive ~04/30Next seminarFuture seminars 05/01~

Organizer(s) Nakahiro Yoshida, Hiroki Masuda, Teppei Ogihara, Yuta Koike

2025/04/24

10:00-11:10   Room #126 (Graduate School of Math. Sci. Bldg.)
ハイブリッド開催
Stefano M. Iacus (Harvard University)
Inference for Ergodic Network Stochastic Differential Equations (English)
[ Abstract ]
We propose a novel framework for Network Stochastic Differential Equations (N-SDE), where each node in a network is governed by an SDE influenced by interactions with its neighbors. The evolution of each node is driven by the interplay of three key components: the node's intrinsic dynamics (momentum effect), feedback from neighboring nodes (network effect), and a "stochastic volatility” term modeled by Brownian motion.
Our objective is to estimate the parameters of the N-SDE system under two different schemas: high-frequency discrete-time observations and small noise continuous-time observations.
The motivation behind this model lies in its ability to analyze very high-dimensional time series by leveraging the inherent sparsity of the underlying network graph.
We consider two distinct scenarios: i) known network structure: the graph is fully specified, and we establish conditions under which the parameters can be identified, considering the quadratic growth of the parameter space with the number of edges. ii) unknown network structure: the graph must be inferred from the data. For this, we develop an iterative procedure using adaptive Lasso, tailored to a specific subclass of N-SDE models.
In this work, we assume the network graph is oriented, paving the way for novel applications of SDEs in causal inference, enabling the study of cause-effect relationships in dynamic systems.
Through simulation studies, we demonstrate the performance of our estimators across various graph topologies in high-dimensional settings. We also showcase the framework's applicability to real-world datasets, highlighting its potential for advancing the analysis of complex networked systems.
[ Reference URL ]
https://u-tokyo-ac-jp.zoom.us/meeting/register/cx7BR8oJSFGT42K4LY-fkQ