Autoregressive models for matrix-valued time series

DOI10.1016/j.jeconom.2020.07.015zbMath1471.62457arXiv1812.08916MaRDI QIDQ109413

Han Xiao, Rong Chen, Dan Yang, Han Xiao, Dan Yang, Rong Chen

Publication date: May 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1812.08916

zbMATH Keywords

prediction; Kronecker product; autoregressive; multivariate time series; bilinear; economic indicators; matrix-valued time series; nearest Kronecker product projection

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H25: Factor analysis and principal components; correspondence analysis

62H12: Estimation in multivariate analysis

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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