Simplicial Vector Autoregressive Model For Streaming Edge Flows
Joshin Krishnan, Rohan Money, Baltasar Beferull‐Lozano, Elvin Isufi
Abstract
Vector autoregressive (VAR) model is widely used to model time-varying processes, but it suffers from prohibitive growth of the parameters when the number of time series exceeds a few hundreds. We propose a simplicial VAR model to mitigate the curse of dimensionality of the VAR models when the time series are defined over higher-order network structures such as edges, triangles, etc. The proposed model shares parameters across the simplicial signals by leveraging the simplicial convolutional filter and captures structure-aware spatio-temporal dependencies of the time-varying processes. Targetting the streaming signals from the real-world nonstationary networks, we develop a group-lasso-based online strategy to learn the proposed model. Using traffic and water distribution networks, we demonstrate that the proposed model achieves competitive signal prediction accuracy with a significantly less number of parameters than the VAR models.