Sunday, September 18, 2022

Factor Network Autoregressions

 Check this out, by Barigozzi, Cavaliere, and Moramarco:

Very cool methods for dynamic "multilayer networks".  In a standard N-dim net there's one NxN adjacency matrix.  But richer nets may have many kinds of connections, each governed by its own adjacency matrix.  (What a great insight -- so natural and obvious once you hear it.  A nice "ah-ha moment"!)  So perhaps there are K operative NxN adjacency matrices.  Then there is actually a grand 3-dim adjacency matrix (NxNxK) operative -- a cubic rather than a square matrix.  Parsimonious modeling then becomes absolutely crucial, and in that regard BCM effectively propose a modeling framework with a "factor structure" for the set of adjacency matrices.  Really eye-opening.  Lots to think about.     

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