Two-way Homogeneity Pursuit for Quantile Network Vector Autoregression

We propose a two-way grouped network quantile (TGNQ) autoregression model for time series data observed on networks with substantial heterogeneity and complex directional interactions. Motivated by prior studies on network effects in directed networks, our model assigns each node two latent group memberships to flexibly capture asymmetric and heterogeneous interactions among users. These memberships, along with model parameters, can be consistently estimated using the proposed estimation procedure. As a result, the model performs node clustering and parameter estimation simultaneously, striking a balance between model flexibility and interpretability. We establish theoretical guarantees for the proposed method, showing that both group memberships and parameter estimators are consistent even when the number of groups is over-specified. When the group numbers are correctly specified, the parameter estimators are asymptotically normal, enabling valid statistical inference. In addition, we develop a quantile information criterion for the consistent selection of the number of groups. Simulation studies demonstrate strong finite-sample performance, and an application to Sina Weibo data illustrates the model’s ability to uncover behavioral dynamics and user interaction patterns.