5 citations · 6 across the 2 of their papers we have counts for
Showing stat.MEShow all
2 papers · 1 filter
stat.ME2024★ 1 cited
Cointegrated Matrix Autoregression Models
Zebang Li, Han Xiao
We propose a novel cointegrated autoregressive model for matrix-valued time series, with bi-linear cointegrating vectors corresponding to the rows and columns of the matrix data. C…
stat.ME2021★ 5 cited
Multi-linear Tensor Autoregressive Models
Zebang Li, Han Xiao
Contemporary time series analysis has seen more and more tensor type data, from many fields. For example, stocks can be grouped according to Size, Book-to-Market ratio, and Operati…