Nonlinear network autoregression

We study general nonlinear models for time series networks of integer and continuous-valued data. The vector of high-dimensional responses, measured on the nodes of a known network, is regressed nonlinearly on its lagged value and on lagged values of the neighboring nodes by employing a smooth link function. We study stability conditions for such multivariate process and develop quasi-maximum likelihood inference when the network dimension is increasing. In addition, we study linearity score tests by treating sepa-rately the cases of identifiable and nonidentifiable parameters. In the case of identifiability, the test statistic converges to a chi-square distribution. When the parameters are not identifiable, we develop a supremum-type test whose p-values are approximated adequately by employing a feasible bound and bootstrap methodology. Simulations and data examples support further our findings.