On a matrix-valued autoregressive model

DOI10.1111/jtsa.12748MaRDI QIDQ6655919

S. Yaser Samadi, L. Billard

Publication date: 27 December 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

zbMATH Keywords

estimationstationarityvariance-covariance matrixcross-autocorrelation matrix

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Inference from stochastic processes (62Mxx)

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