Additive autoregressive models for matrix valued time series

DOI10.1111/JTSA.12718MaRDI QIDQ6128253zbMATH OpenFDO

Authors Hong-Fan Zhang

Publication date 15 April 2024

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/JTSA.12718

zbMATH Keywords

additive effectalternating least squaresautoregressionequality constrained optimizationGershgorin's circle theoremhypothesis testmatrix valued time series

Mathematics Subject Classification ID

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

Cited in

(5)

• On a matrix-valued autoregressive model
• High-dimensional regularized additive matrix autoregressive model
• Matrix-valued factor model with time-varying main effects
• Tensor time series imputation through tensor factor modelling
• Inner-envelope matrix autoregression

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