Independent innovation analysis for nonlinear vector autoregressive process
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The nonlinear vector autoregressive (NVAR) model provides an appealing framework to analyze multivariate time series obtained from a nonlinear dynamical system. However, the innovation (or error), which plays a key role by driving the dynamics, is almost always assumed to be additive. Additivity greatly limits the generality of the model, hindering analysis of general NVAR process which have nonlinear interactions between the innovations. Here, we propose a new general framework called independent innovation analysis (IIA), which estimates the innovations from completely general NVAR. We assume mutual independence of the innovations as well as their modulation by a fully observable auxiliary variable (which is often taken as the time index and simply interpreted as nonstationarity). We show that IIA guarantees the identifiability of the innovations with arbitrary nonlinearities, up to a permutation and component-wise invertible nonlinearities. We propose two practical estimation methods, both of which can be easily implemented by ordinary neural network training. We thus provide the first rigorous identifiability result for general NVAR, as well as very general tools for learning such models.
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