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包络矩阵自回归模型AI 解读

Matrix-valued data is commonly collected over time in many scientific fields. However, existing methods for handling such data are limited and often suffer from overparametrization. In response, Chen et al. (2021) introduced the matrix autoregressive (MAR) model as an alternative to traditional time series analysis, which relies on vectorization and vector autoregression frameworks. By preserving the original structure of matrices, the MAR model avoids the loss of valuable…

降秩包络向量自回归模型AI 解读

–The standard vector autoregressive (VAR) models suffer from overparameterization which is a serious issue for high-dimensional time series data as it restricts the number of variables and lags that can be incorporated into the model. Several statistical methods, such as the reduced-rank model for multivariate (multiple) time series (Velu et al., 1986; Reinsel and Velu, 1998; Reinsel et al., 2022) and the Envelope VAR model (Wang and Ding, 2018), provide solutions for…