Penalized Estimation and Forecasting of Multiple Subject Intensive Longitudinal Data

Intensive longitudinal data (ILD) is an increasingly common data type in the social and behavioral sciences. Despite the many benefits these data provide, little work has been dedicated to realize the potential such data hold for forecasting dynamic processes at the individual level. To address this...

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Veröffentlicht in:Psychometrika Jg. 87; H. 2; S. 1 - 29
Hauptverfasser: Fisher, Zachary F., Kim, Younghoon, Fredrickson, Barbara L., Pipiras, Vladas
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York Springer US 01.06.2022
Springer Nature B.V
Schlagworte:
Algorithms
Assessment
Behavioral Science and Psychology
Behavioral sciences
Forecasting
Forecasting with Intensive Longitudinal Data
Humanities
Humans
Law
Physiology
Psychology
Psychometrics
Research Design
Social sciences
Statistical Theory and Methods
Statistics for Social Sciences
Testing and Evaluation
Theory and Methods
Time series
Variables
ILD
vector autoregression
forecasting
proximal gradient descent
regularization
LASSO
time series
ISSN:0033-3123, 1860-0980, 1860-0980
Online-Zugang:Volltext
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Zusammenfassung:Intensive longitudinal data (ILD) is an increasingly common data type in the social and behavioral sciences. Despite the many benefits these data provide, little work has been dedicated to realize the potential such data hold for forecasting dynamic processes at the individual level. To address this gap in the literature, we present the multi-VAR framework , a novel methodological approach allowing for penalized estimation of ILD collected from multiple individuals. Importantly, our approach estimates models for all individuals simultaneously and is capable of adaptively adjusting to the amount of heterogeneity present across individual dynamic processes. To accomplish this, we propose a novel proximal gradient descent algorithm for solving the multi-VAR problem and prove the consistency of the recovered transition matrices. We evaluate the forecasting performance of our method in comparison with a number of benchmark methods and provide an illustrative example involving the day-to-day emotional experiences of 16 individuals over an 11-week period.
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ISSN:0033-3123
1860-0980
1860-0980
DOI:10.1007/s11336-021-09825-7