124 citations · 194 across the 14 of their papers we have counts for
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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.ME2024★ 2 cited
Dynamic Matrix Factor Models for High Dimensional Time Series
Ruofan Yu, Rong Chen, Han Xiao +1
Matrix time series, which consist of matrix-valued data observed over time, are prevalent in various fields such as economics, finance, and engineering. Such matrix time series dat…