Spectral correlation hub screening of multivariate time series,” in Excursions in Harmonic Analysis: The February Fourier Talks at the Norbert

Summary. This chapter discusses correlation analysis of stationary multivariate Gaussian time series in the spectral or Fourier domain. The goal is to identify the hub time series, i.e., those that are highly correlated with a specified number of other time series. We show that Fourier components of the time series at differ-ent frequencies are asymptotically statistically independent. This property permits independent correlation analysis at each frequency, alleviating the computational and statistical challenges of high-dimensional time series. To detect correlation hubs at each frequency, an existing correlation screening method is extended to the com-plex numbers to accommodate complex-valued Fourier components. We characterize the number of hub discoveries at specified correlation and degree thresholds in the regime of increasing dimension and fixed sample size. The theory specifies appro-priate thresholds to apply to sample correlation matrices to detect hubs and also allows statistical significance to be attributed to hub discoveries. Numerical results illustrate the accuracy of the theory and the usefulness of the proposed spectral framework. Key words: Complex-valued correlation screening, Spectral correlation analysis