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• W4383104003 abstract "Abstract The issue of modelling observations generated in matrix form over time is key in economics, finance and many domains of application. While it is common to model vectors of observations through standard vector time series analysis, original matrix-valued data often reflect different types of structures of time series observations which can be further exploited to model interdependencies. In this paper, we propose a novel matrix autoregressive model in a bilinear form which, while leading to a substantial dimensionality reduction and enhanced interpretability: (a) allows responses and potential covariates of interest to have different dimensions; (b) provides a suitable estimation procedure for matrix autoregression with lag structure; (c) facilitates the introduction of Bayesian estimators. We propose maximum likelihood and Bayesian estimation with Independent-Normal prior formulation, and study the theoretical properties of the estimators through simulated and real examples." @default.
• W4383104003 created "2023-07-05" @default.
• W4383104003 creator A5054626521 @default.
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• W4383104003 date "2023-07-04" @default.
• W4383104003 modified "2023-10-03" @default.
• W4383104003 title "Matrix autoregressive models: generalization and Bayesian estimation" @default.
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• W4383104003 doi "https://doi.org/10.1515/snde-2022-0093" @default.
• W4383104003 hasPublicationYear "2023" @default.
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