An Unknowncountry.com reader took this video over Phoenix on the night of January 12. This is not a formation of candle lanterns unless they are held together by a frame that is, in turn, being kept aloft by an unseen balloon. This is possible, but they would almost certainly twirl slowly if they were dangling from a balloon, and there is no evidence of that. This may be a constructed object hoax, but it may also be an unknown.
The individual who took the video has determined that the wind direction that night was westerly, but the object was moving east. Here is his full report: