Search Results - subject:"matrix-valued time series"

Matrix-valued spatial autoregressions with dynamic and robust heterogeneous spillovers

Lin, Yicong; Lucas, André; Ye, Shiqi - 2025

We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series …

Persistent link: https://www.econbiz.de/10015432652

Matrix-valued spatial autoregressions with dynamic and robust heterogeneous spillovers

Lin, Yicong; Lucas, André; Ye, Shiqi - 2025

We introduce a new time-varying parameter spatial matrix autoregressive model that integrates matrix-valued time series …

Persistent link: https://www.econbiz.de/10015423404

Detecting cointegrating relations in non-stationary matrix-valued time series

Hecq, Alain W. J.; Ricardo, Ivan; Wilms, Ines - In: Economics letters 248 (2025), pp. 1-5

Persistent link: https://www.econbiz.de/10015462681

A smooth transition autoregressive model for matrix-variate time series

Bucci, Andrea - In: Computational economics 65 (2025) 1, pp. 429-458

Persistent link: https://www.econbiz.de/10015195772

Matrix autoregressive models : generalization and Bayesian estimation

Celani, Alessandro; Pagnottoni, Paolo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 227-248

Persistent link: https://www.econbiz.de/10014631918

Autoregressive models for matrix-valued time series

Chen, Rong; Xiao, Han; Yang, Dan - In: Journal of econometrics 222 (2021) 1,2, pp. 539-560

Persistent link: https://www.econbiz.de/10012619734

Descriptive Analysis of Matrix-Valued Time-Series

Antille, Gerard - In: Applied Econometrics 8 (2007) 4, pp. 45-54

In this article we present a technique of data analysis applied to three-dimensional tables as, for instance, matrix-valued … time-series. The main goal of the method is to describe the evolution of the statistical units with respect to time in a …

Persistent link: https://www.econbiz.de/10009366485