Spherical autoregressive models, with application to distributional and compositional time series

Abstract

We introduce a new class of autoregressive models for spherical time series. The dimension of the spheres on which the observations of the time series are situated may be finite-dimensional or infinite-dimensional, where in the latter case we consider the Hilbert sphere. Spherical time series arise in various settings. We focus here on distributional and compositional time series. Applying a square root transformation to the densities of the observations of a distributional time series maps the distributional observations to the Hilbert sphere, equipped with the Fisher–Rao metric. Likewise, applying a square root transformation to the components of the observations of a compositional time series maps the compositional observations to a finite-dimensional sphere, equipped with the geodesic metric on spheres. The challenge in modeling such time series lies in the intrinsic non-linearity of spheres and Hilbert spheres, where conventional arithmetic operations such as addition or scalar multiplication are no longer available. To address this difficulty, we consider rotation operators to map observations on the sphere. Specifically, we introduce a class of skew-symmetric operators such that the associated exponential operators are rotation operators that for each given pair of points on the sphere map the first point of the pair to the second point of the pair. We exploit the fact that the space of skew-symmetric operators is Hilbertian to develop autoregressive modeling of geometric differences that correspond to rotations of spherical and distributional time series. Differences expressed in terms of rotations can be taken between the Fréchet mean and the observations or between consecutive observations of the time series. We derive theoretical properties of the ensuing autoregressive models and showcase these approaches with several motivating data. These include a time series of yearly observations of bivariate distributions of the minimum/maximum temperatures for a period of 120 days during each summer for the years 1990-2018 at Los Angeles (LAX) and John F. Kennedy (JFK) international airports. A second data application concerns a compositional time series with annual observations of compositions of energy sources for power generation in the U.S..