Autoregressive moving average model for matrix time series

DOI10.1080/24754269.2023.2262360MaRDI QIDQ6178387zbMATH OpenOpenAlexFDO

Authors Shujin Wu, Ping Bi

Publication date 18 January 2024

Published in Statistical Theory and Related Fields (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1080/24754269.2023.2262360

zbMATH Keywords

autoregressive moving average modelbilinear modelmatrix time seriesstatistical inference

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Applied multivariate statistical analysis
• Autoregressive models for matrix-valued time series
• Bayesian analysis of matrix normal graphical models
• Factor models for matrix-valued high-dimensional time series
• Kronecker products and matrix calculus: with applications
• Wavelet analysis of matrix–valued time–series

Cited in

(3)

• Matrix-valued factor model with time-varying main effects
• Online graph topology learning from matrix-valued time series
• Inner-envelope matrix autoregression

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