Interpretable Dynamic Network Modeling of Tensor Time Series via Kronecker Time-Varying Graphical Lasso
About
With the rapid development of web services, large amounts of time series data are generated and accumulated across various domains such as finance, healthcare, and online platforms. As such data often co-evolves with multiple variables interacting with each other, estimating the time-varying dependencies between variables (i.e., the dynamic network structure) has become crucial for accurate modeling. However, real-world data is often represented as tensor time series with multiple modes, resulting in large, entangled networks that are hard to interpret and computationally intensive to estimate. In this paper, we propose Kronecker Time-Varying Graphical Lasso (KTVGL), a method designed for modeling tensor time series. Our approach estimates mode-specific dynamic networks in a Kronecker product form, thereby avoiding overly complex entangled structures and producing interpretable modeling results. Moreover, the partitioned network structure prevents the exponential growth of computational time with data dimension. In addition, our method can be extended to stream algorithms, making the computational time independent of the sequence length. Experiments on synthetic data show that the proposed method achieves higher edge estimation accuracy than existing methods while requiring less computation time. To further demonstrate its practical value, we also present a case study using real-world data. Our source code and datasets are available at https://github.com/Higashiguchi-Shingo/KTVGL.