Random matrix time series

DOI10.1007/S42519-023-00339-2MaRDI QIDQ6172251zbMATH OpenOpenAlexFDO

Authors Peiyuan Teng, Min Xu

Publication date 16 August 2023

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.12789

zbMATH Keywords

maximum likelihood estimationrandom matrix theorytime series

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Abstract: In this paper, a time series model with coefficients that take values from random matrix ensembles is proposed. Formal definitions, theoretical solutions, and statistical properties are derived. Estimation and forecast methodologies for random matrix time series are discussed with examples. Random matrix differential equations and potential applications of the time series model are suggested at the end.

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Cited in

(5)

• The simulation of random vector time series with given spectrum
• scientific article; zbMATH DE number 4036982 (Why is no real title available?)
• scientific article; zbMATH DE number 1057279 (Why is no real title available?)
• On random white noise processes with memory for time series analysis
• Random matrix models for datasets with fixed time horizons

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