Matrix autoregressive models: generalization and Bayesian estimation

DOI10.1515/snde-2022-0093MaRDI QIDQ6645234

Paolo Pagnottoni, Alessandro Celani

Publication date: 28 November 2024

Published in: Unnamed Author (Search for Journal in Brave)

zbMATH Keywords

autoregressive modelsBayesian estimationmultivariate time seriesmatrix-valued time seriesnearest Kronecker product projectionbilinear autoregression

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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