Matrix-variate time series analysis: a brief review and some new developments

DOI10.1111/insr.12558MaRDI QIDQ6612365

Ruey S. Tsay

Publication date: 30 September 2024

Published in: International Statistical Review (Search for Journal in Brave)

zbMATH Keywords

exponential smoothingmultivariate time serieshigh dimensionmultiplicative seasonal model

Mathematics Subject Classification ID

Statistics (62-XX) Inference from stochastic processes (62Mxx) Multivariate analysis (62Hxx)

Related Items (1)

On a matrix-valued autoregressive model

Cites Work

• Autoregressive models for matrix-valued time series
• Factor models for matrix-valued high-dimensional time series
• Time Series Analysis and Its Applications
• Bayesian analysis of matrix normal graphical models
• Vector linear time series models
• Wavelet analysis of matrix–valued time–series
• Matrix Autoregressive Spatio-Temporal Models
• Constrained Factor Models for High-Dimensional Matrix-Variate Time Series
• Simultaneous Decorrelation of Matrix Time Series
• Resolution Adaptive Fixed Rank Kriging
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