Multivariate Spatial-temporal Prediction on Latent Low-dimensional Functional Structure with Non-stationarity

TL;DR

This paper introduces a novel non-parametric approach for modeling multivariate spatio-temporal data using latent factors, effectively capturing dependencies and non-stationarity, with applications in spatial prediction and temporal forecasting.

Contribution

The paper develops a new matrix factor model with non-parametric estimation of spatial loadings and accommodates non-stationarity, advancing multivariate spatio-temporal analysis.

Findings

Effective spatial prediction using estimated loading functions

Accurate temporal forecasting with matrix autoregressive model MAR(1)

Method performs well on synthetic and real datasets

Abstract

Multivariate spatio-temporal data arise more and more frequently in a wide range of applications; however, there are relatively few general statistical methods that can readily use that incorporate spatial, temporal and variable dependencies simultaneously. In this paper, we propose a new approach to represent non-parametrically the linear dependence structure of a multivariate spatio-temporal process in terms of latent common factors. The matrix structure of observations from the multivariate spatio-temporal process is well reserved through the matrix factor model configuration. The spatial loading functions are estimated non-parametrically by sieve approximation and the variable loading matrix is estimated via an eigen-analysis of a symmetric non-negative definite matrix. Though factor decomposition along the space mode is similar to the low-rank approximation methods in spatial statistics, the fundamental difference is that the low-dimensional structure is completely unknown in our setting. Additionally, our method accommodates non-stationarity over space. The estimated loading functions facilitate spatial prediction. For temporal forecasting, we preserve the matrix structure of observations at each time point by utilizing the matrix autoregressive model of order one MAR(1). Asymptotic properties of the proposed methods are established. Performance of the proposed method is investigated on both synthetic and real datasets