tensorTS

MaRDI QIDQ109416CRANFDO

Authors Zebang Li, Rong Chen, Ruofan Yu, Yuefeng Han, Han Xiao, Dan Yang

Last update 6 July 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0.0, 1.0.1, PACKAGES.rds, 0.1.0, 0.1.1, 0.1.2, 0.1.3, 1.0.2, 1.0.3

Description

Factor and autoregressive models for matrix and tensor valued time series. We provide functions for estimation, simulation and prediction. The models are discussed in Li et al (2021) <doi:10.48550/arXiv.2110.00928>, Chen et al (2020) <doi:10.1080/01621459.2021.1912757>, Chen et al (2020) <doi:10.1016/j.jeconom.2020.07.015>, and Xiao et al (2020) <doi:10.48550/arXiv.2006.02611>.

Cites work

• Autoregressive models for matrix-valued time series
• Factor Models for High-Dimensional Tensor Time Series

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