Autoregression model of time series with matrix cross-section data

DOI10.12386/A20190057MaRDI QIDQ6200368zbMATH OpenFDO

Authors Shujin Wu

Publication date 22 March 2024

Full work available at URL https://doi.org/10.12386/A20190057

zbMATH Keywords

likelihood ratio testparameter estimationtime series with matrix cross-section datawhite noise test

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bayesian analysis of matrix normal graphical models
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Factor models for matrix-valued high-dimensional time series
• Generalized autoregressive conditional heteroscedasticity
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• Modeling Multiple Times Series with Applications
• Wavelet analysis of matrix–valued time–series

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