A Latent Moving Average Model for Network Regression

Statistics and Its Interface Volume 11 (2018) 641–648

8 Pages Posted: 11 Oct 2018

See all articles by Rui Pan

Rui Pan

Central University of Finance and Economics (CUFE)

Rong Guan

Central University of Finance and Economics (CUFE)

Xuening Zhu

Peking University

Hansheng Wang

Peking University - Guanghua School of Management

Date Written: September 21, 2018

Abstract

Different from traditional statistical analysis that concerns about individuals, network analysis focuses more on the dichotomous relationships between those individuals. It is then of interest to investigate the relationship against a set of predictive variables. The widely used generalized linear model is no longer applicable, since it implicitly assumes that different subjects are completely independent. To solve this problem, we propose a latent moving average model (LMAM), which allows for nontrivial dependence for overlapped relationships. It is only assumed that the nonoverlapped relationships are independent. Under such an assumption, the asymptotic theory, including the rate of convergence and asymptotic normality, can be established. A number of numerical studies are conducted to demonstrate the finite sample performance of our proposed method. At last, a real dataset is analyzed for illustration purpose.

Keywords: Generalized Linear Model, Latent Moving Average Model, Network Regression, Social Networks

Suggested Citation

Pan, Rui and Guan, Rong and Zhu, Xuening and Wang, Hansheng, A Latent Moving Average Model for Network Regression (September 21, 2018). Statistics and Its Interface Volume 11 (2018) 641–648. Available at SSRN: https://ssrn.com/abstract=3252843

Rui Pan

Central University of Finance and Economics (CUFE) ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Rong Guan

Central University of Finance and Economics (CUFE) ( email )

39 South College Road
Haidian District
Beijing, Beijing 100081
China

Xuening Zhu

Peking University ( email )

No. 38 Xueyuan Road
Haidian District
Beijing, Beijing 100871
China

Hansheng Wang (Contact Author)

Peking University - Guanghua School of Management ( email )

Peking University
Beijing, Beijing 100871
China

HOME PAGE: http://hansheng.gsm.pku.edu.cn

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