Informing VAR(1) with qualitative dynamical features improves predictive accuracy.

The AR(1) model has been shown to outperform the general VAR(1) model on typical affective time series. Even in combination with a lasso penalty, the reduced VAR(1) model (VAR-lasso) is generally outperformed. A reason for the AR dominance is that the VAR-lasso selects models that are still too complex-the space of all possible VAR models includes simpler models but these are hard to select with a traditional lasso penalty. In this article, we propose a reparametrization of the VAR model by decomposing its transition matrix into a symmetric and antisymmetric component (denoted as SAD), allowing us to construct a hierarchy of meaningful signposts in the VAR model space ranging from simple to complex. The decomposition enables the lasso procedure to pick up qualitatively distinct dynamical features in a more targeted way (like relaxation, shearing, and oscillations); this procedure is called SAD-lasso. This leads to a more intuitive interpretation of the reduced models. By removing the antisymmetric component altogether, we obtain a subclass of symmetric VAR models that form a natural extension of the AR model with the same simple relaxation dynamics but allowing for interactions between the system components. We apply these reparametrized and constrained VAR models to 1,391 psychological time series of affect, and compare their predictive accuracy. This analysis indicates that the SAD-lasso is a better regularization technique than the VAR-lasso. Additionally, the results of an extensive simulation study suggest the existence of symmetric interactions for almost half of the time series considered in this article. (PsycInfo Database Record (c) 2022 APA, all rights reserved).

Publication year:2021

BOF-keylabel:yes

IOF-keylabel:yes

BOF-publication weight:10

CSS-citation score:1

Authors from:Higher Education

Accessibility:Open