Robust estimation of matrix-valued time series autoregressive model

DOI10.20142/J.CNKI.AMAS.202401013MaRDI QIDQ7006157zbMATH OpenFDO

Authors Xiaomei Zhang, Yingqiu Zhu, Leiy Qin, Yang Chen

Publication date 31 March 2025

Published in Acta Mathematicae Applicatae Sinica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.20142/J.CNKI.AMAS.202401013

zbMATH Keywords

matrix autoregressive modelorder selectionreduced rankrobust estimation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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