Block Toeplitz Sparse Precision Matrix Estimation for Large-Scale Interval-Valued Time Series Forecasting

• URL: http://arxiv.org/abs/2504.03322v1
• Date: Fri, 04 Apr 2025 09:57:05 GMT
• Title: Block Toeplitz Sparse Precision Matrix Estimation for Large-Scale Interval-Valued Time Series Forecasting
• Authors: Wan Tian, Zhongfeng Qin,
• Abstract summary: We propose a feature extraction procedure for interval-time prediction (ITS)<n>The proposed method can effectively obtain invariant representations of the raw data and enhance forecasting performance.
• Score: 0.0
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Modeling and forecasting interval-valued time series (ITS) have attracted considerable attention due to their growing presence in various contexts. To the best of our knowledge, there have been no efforts to model large-scale ITS. In this paper, we propose a feature extraction procedure for large-scale ITS, which involves key steps such as auto-segmentation and clustering, and feature transfer learning. This procedure can be seamlessly integrated with any suitable prediction models for forecasting purposes. Specifically, we transform the automatic segmentation and clustering of ITS into the estimation of Toeplitz sparse precision matrices and assignment set. The majorization-minimization algorithm is employed to convert this highly non-convex optimization problem into two subproblems. We derive efficient dynamic programming and alternating direction method to solve these two subproblems alternately and establish their convergence properties. By employing the Joint Recurrence Plot (JRP) to image subsequence and assigning a class label to each cluster, an image dataset is constructed. Then, an appropriate neural network is chosen to train on this image dataset and used to extract features for the next step of forecasting. Real data applications demonstrate that the proposed method can effectively obtain invariant representations of the raw data and enhance forecasting performance.

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