Autoregressive models for matrix-valued time series
From MaRDI portal
Abstract: In finance, economics and many other fields, observations in a matrix form are often generated over time. For example, a set of key economic indicators are regularly reported in different countries every quarter. The observations at each quarter neatly form a matrix and are observed over many consecutive quarters. Dynamic transport networks with observations generated on the edges can be formed as a matrix observed over time. Although it is natural to turn the matrix observations into a long vector, and then use the standard vector time series models for analysis, it is often the case that the columns and rows of the matrix represent different types of structures that are closely interplayed. In this paper we follow the autoregressive structure for modeling time series and propose a novel matrix autoregressive model in a bilinear form that maintains and utilizes the matrix structure to achieve a greater dimensional reduction, as well as more interpretable results. Probabilistic properties of the models are investigated. Estimation procedures with their theoretical properties are presented and demonstrated with simulated and real examples.
Recommendations
- Factor models for matrix-valued high-dimensional time series
- Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
- Matrix factorization for multivariate time series analysis
- Analyzing multiple vector autoregressions through matrix-variate normal distribution with two covariance matrices
- Sparse transition matrix estimation for high-dimensional and locally stationary vector autoregressive models
Cites work
- scientific article; zbMATH DE number 3738768 (Why is no real title available?)
- scientific article; zbMATH DE number 3744363 (Why is no real title available?)
- scientific article; zbMATH DE number 635657 (Why is no real title available?)
- scientific article; zbMATH DE number 741107 (Why is no real title available?)
- scientific article; zbMATH DE number 3797061 (Why is no real title available?)
- scientific article; zbMATH DE number 2199188 (Why is no real title available?)
- scientific article; zbMATH DE number 3335601 (Why is no real title available?)
- A direct estimation of high dimensional stationary vector autoregressions
- A variable projection method for solving separable nonlinear least squares problems
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Autoregressive process modeling via the Lasso procedure
- Constrained factor models
- Determining the Number of Factors in Approximate Factor Models
- Diagnostic tests for multiple time series models
- Dynamic factors in the presence of blocks
- Estimating Linear Restrictions on Regression Coefficients for Multivariate Normal Distributions
- Estimation of (near) low-rank matrices with noise and high-dimensional scaling
- Estimation of latent factors for high-dimensional time series
- Factor modeling for high-dimensional time series: inference for the number of factors
- Factor models for matrix-valued high-dimensional time series
- Generalized autoregressive conditional heteroscedasticity
- Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
- Ideals, Varieties, and Algorithms
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Modeling Multiple Times Series with Applications
- Multivariate time series analysis. With R and financial applications
- Noncausal vector autoregression
- Oracle inequalities for high dimensional vector autoregressions
- Reduced-rank regression for the multivariate linear model
- Regularized estimation in sparse high-dimensional time series models
- Structured Lasso for regression with matrix covariates
- Tensor Regression with Applications in Neuroimaging Data Analysis
- The Differentiation of Pseudo-Inverses and Nonlinear Least Squares Problems Whose Variables Separate
- The Generalized Dynamic Factor Model
- The Multivariate Portmanteau Statistic
- The ubiquitous Kronecker product
- Time series: theory and methods.
- Vector linear time series models
Cited in
(35)- High-dimensional low-rank tensor autoregressive time series modeling
- Matrix Autoregressive Spatio-Temporal Models
- Matrix factorization for multivariate time series analysis
- A varying coefficient model with matrix valued covariates
- Matrix-variate time series analysis: a brief review and some new developments
- The spatial-temporal lag model of matrix-valued time series and its application
- On a matrix-valued autoregressive model
- scientific article; zbMATH DE number 4003315 (Why is no real title available?)
- Stable reduced-rank VAR identification
- scientific article; zbMATH DE number 1057279 (Why is no real title available?)
- Multivariate continuous-time autoregressive moving-average processes on cones
- Bayesian variable selection for matrix autoregressive models
- Robust inference theory for non-regular time series models and its extensions
- scientific article; zbMATH DE number 5220389 (Why is no real title available?)
- Asymptotic normality for eigenvalue statistics of a general sample covariance matrix when \(p/n \to \infty\) and applications
- Autoregressive moving average model for matrix time series
- Factor Models for High-Dimensional Tensor Time Series
- Autoregression model of time series with matrix cross-section data
- Factor models for matrix-valued high-dimensional time series
- Random matrix models for datasets with fixed time horizons
- Editorial for the special issue on financial econometrics in the age of the digital economy
- Rank determination in tensor factor model
- Matrix-variate time series modelling with hidden Markov models
- One-way or two-way factor model for matrix sequences?
- Random matrix time series
- First-order autoregressive models: A method for obtaining eigenvalues for weighting matrices
- tensorTS
- Robust online detection in serially correlated directed network
- Simultaneous Decorrelation of Matrix Time Series
- On singular values of data matrices with general independent columns
- Matrix autoregressive models: generalization and Bayesian estimation
- Determining the number of factors in constrained factor models via Bayesian information criterion
- Multivariate spatiotemporal models with low rank coefficient matrix
- Auto-regressive moving-average discrete-time dynamical systems and autocorrelation functions on real-valued Riemannian matrix manifolds
- Modeling of multichannel time series and extrapolation of matrix-valued autocorrelation sequences
This page was built for publication: Autoregressive models for matrix-valued time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q109413)
