Matrix autoregressive models: generalization and Bayesian estimation

DOI10.1515/SNDE-2022-0093MaRDI QIDQ6645234zbMATH OpenFDO

Authors Alessandro Celani, Paolo Pagnottoni

Publication date 28 November 2024

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/SNDE-2022-0093

zbMATH Keywords

autoregressive modelsBayesian estimationbilinear autoregressionmatrix-valued time seriesmultivariate time seriesnearest Kronecker product projection

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(6)

• Statistically validated coeherence and intensity in temporal networks of information flows
• Explainable machine learning for financial risk management: two practical use cases
• Tensor train regression with convex regularization
• Online graph topology learning from matrix-valued time series
• Wasserstein barycenter regression: application to the joint dynamics of regional GDP and life expectancy in Italy
• Covariance analysis and GMM estimation of Markov switching bilinear processes

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