Matrix autoregressive models : generalization and Bayesian estimation
Year of publication: |
2024
|
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Authors: | Celani, Alessandro ; Pagnottoni, Paolo |
Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 28.2024, 2, p. 227-248
|
Subject: | autoregressive models | Bayesian estimation | bilinear autoregression | matrix-valued time series | multivariate time series | nearest Kronecker product projection | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference | Autokorrelation | Autocorrelation |
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