Matrix‐Variate Time Series Analysis: A Brief Review and Some New Developments

Ruey S. Tsay

International Statistical Review, 2024, vol. 92, issue 2, 246-262

Abstract: This paper briefly reviews the recent research in matrix‐variate time series analysis, discusses some new developments, especially for seasonal time series, and demonstrates some applications. A general matrix autoregressive moving‐average model is introduced. The paper narrates a simple approach for understanding the model, identifiability issues, and estimation. Real examples are used to illustrate the theory.

Date: 2024
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