Joint modeling and inference of multiple-subject high-dimensional sparse vector autoregressive models

Abstract: The multiple-subject vector autoregression (multi-VAR) model captures heterogeneous network Granger causality across subjects by decomposing individual sparse VAR transition matrices into commonly shared and subject-unique paths. The model has been applied to characterize hidden shared and unique paths among subjects and has demonstrated performance compared to methods commonly used in psychology and neuroscience. Despite this innovation, the model suffers from using a weighted median for identifying the common effects, leading to statistical inefficiency as the convergence rates of the common and unique paths are determined by the least sparse subject and the smallest sample size across all subjects. We propose a new identifiability condition for the multi-VAR model based on a communication-efficient data integration framework. We show that this approach achieves convergence rates tailored to each subject's sparsity level and sample size. Furthermore, we develop hypothesis tests to assess the nullity and homogeneity of individual paths, using Wald-type test statistics constructed from individual debiased estimators. A test for the significance of the common paths can also be derived through the framework. Simulation studies under various heterogeneity scenarios and a real data application demonstrate the performance of the proposed method compared to existing benchmark across standard evaluation metrics.