Matrix Autoregressive Model with Vector Time Series Covariates for Spatio-Temporal Data
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In this paper, we propose a new model for forecasting time series data distributed on a matrix-shaped spatial grid, using the historical spatio-temporal data together with auxiliary vector-valued time series data. We model the matrix time series as an auto-regressive process, where a future matrix is jointly predicted by the historical values of the matrix time series as well as an auxiliary vector time series. The matrix predictors are associated with row/column-specific autoregressive matrix coefficients that map the predictors to the future matrices via a bi-linear transformation. The vector predictors are mapped to matrices by taking mode product with a 3D coefficient tensor. Given the high dimensionality of the tensor coefficient and the underlying spatial structure of the data, we propose to estimate the tensor coefficient by estimating one functional coefficient for each covariate, with 2D input domain, from a Reproducing Kernel Hilbert Space. We jointly estimate the autoregressive matrix coefficients and the functional coefficients under a penalized maximum likelihood estimation framework, and couple it with an alternating minimization algorithm. Large sample asymptotics of the estimators are established and performances of the model are validated with extensive simulation studies and a real data application to forecast the global total electron content distributions.
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