IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v222y2021i1p539-560.html
   My bibliography  Save this item

Autoregressive models for matrix-valued time series

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Pagnottoni, Paolo & Spelta, Alessandro, 2024. "Hedging global currency risk: A dynamic machine learning approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 649(C).
  2. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Apr 2025.
  3. Hecq, Alain & Ricardo, Ivan & Wilms, Ines, 2025. "Detecting cointegrating relations in non-stationary matrix-valued time series," Economics Letters, Elsevier, vol. 248(C).
  4. Yicong Lin & André Lucas & Shiqi Ye, 2025. "Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers," Tinbergen Institute Discussion Papers 25-042/III, Tinbergen Institute.
  5. Matteo Barigozzi & Luca Trapin, 2025. "Estimation of large approximate dynamic matrix factor models based on the EM algorithm and Kalman filtering," Papers 2502.04112, arXiv.org, revised May 2025.
  6. Andrea Bucci, 2022. "A smooth transition autoregressive model for matrix-variate time series," Papers 2212.08615, arXiv.org.
  7. Chang, Jinyuan & Zhang, Henry & Yang, Lin & Yao, Qiwei, 2023. "Modelling matrix time series via a tensor CP-decomposition," LSE Research Online Documents on Economics 117644, London School of Economics and Political Science, LSE Library.
  8. Ruey S. Tsay, 2024. "Matrix‐Variate Time Series Analysis: A Brief Review and Some New Developments," International Statistical Review, International Statistical Institute, vol. 92(2), pages 246-262, August.
  9. Ruofan Yu & Rong Chen & Han Xiao & Yuefeng Han, 2024. "Dynamic Matrix Factor Models for High Dimensional Time Series," Papers 2407.05624, arXiv.org.
  10. Benth, Fred Espen & Karbach, Sven, 2023. "Multivariate continuous-time autoregressive moving-average processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 299-337.
  11. Wang, Di & Zheng, Yao & Li, Guodong, 2024. "High-dimensional low-rank tensor autoregressive time series modeling," Journal of Econometrics, Elsevier, vol. 238(1).
  12. Alain Hecq & Ivan Ricardo & Ines Wilms, 2024. "Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach," Papers 2407.07973, arXiv.org.
  13. Wei Zhang, 2024. "Bayesian Dynamic Factor Models for High-dimensional Matrix-valued Time Series," Papers 2409.08354, arXiv.org, revised Aug 2025.
  14. Andrea Bucci, 2025. "A Smooth Transition Autoregressive Model for Matrix-Variate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 429-458, January.
  15. Pu, Dan & Fang, Kuangnan & Lan, Wei & Yu, Jihai & Zhang, Qingzhao, 2024. "Multivariate spatiotemporal models with low rank coefficient matrix," Journal of Econometrics, Elsevier, vol. 246(1).
  16. He, Yong & Kong, Xinbing & Trapani, Lorenzo & Yu, Long, 2023. "One-way or two-way factor model for matrix sequences?," Journal of Econometrics, Elsevier, vol. 235(2), pages 1981-2004.
  17. Andrea Bucci, 2025. "Correction to: A Smooth Transition Autoregressive Model for Matrix-Variate Time Series," Computational Economics, Springer;Society for Computational Economics, vol. 65(1), pages 459-462, January.
  18. Xiyuan Liu & Lingxiao Wang & Jiahao Li & Khan Raqib Mahmud & Shuo Pang, 2025. "Enhancing Wildfire Detection via Trend Estimation Under Auto-Regression Errors," Mathematics, MDPI, vol. 13(7), pages 1-18, March.
  19. Cheng Yu & Dong Li & Feiyu Jiang & Ke Zhu, 2023. "Matrix GARCH Model: Inference and Application," Papers 2306.05169, arXiv.org.
  20. Jiang, Yiye & Bigot, Jérémie & Maabout, Sofian, 2025. "Online graph topology learning from matrix-valued time series," Computational Statistics & Data Analysis, Elsevier, vol. 202(C).
  21. Zhiyun Fan & Xiaoyu Zhang & Mingyang Chen & Di Wang, 2025. "Matrix Time Series Modeling: A Hybrid Framework Combining Autoregression and Common Factors," Papers 2503.05340, arXiv.org.
  22. Yuefeng Han & Rong Chen & Cun-Hui Zhang, 2020. "Rank Determination in Tensor Factor Model," Papers 2011.07131, arXiv.org, revised May 2022.
  23. Monica Billio & Roberto Casarin & Fausto Corradin & Antonio Peruzzi, 2025. "Bayesian Outlier Detection for Matrix-variate Models," Papers 2503.19515, arXiv.org, revised Aug 2025.
  24. Hong‐Fan Zhang, 2024. "Additive autoregressive models for matrix valued time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(3), pages 398-420, May.
  25. Cen, Zetai & Lam, Clifford, 2025. "Tensor time series imputation through tensor factor modelling," LSE Research Online Documents on Economics 127231, London School of Economics and Political Science, LSE Library.
  26. Ana Paula Santos Gularte & Danusio Gadelha Guimarães Filho & Gabriel Oliveira Torres & Thiago Carvalho Nunes Silva & Vitor Venceslau Curtis, 2024. "Machine Learning-Based Time Series Prediction at Brazilian Stocks Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2477-2508, October.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.