Spatio-Temporal Autoregressions for High Dimensional Matrix-Valued Time Series
高维矩阵值时间序列的时空自回归
Motivated by predicting intraday trading volume curves, we consider two spatio-temporal autoregressive models for matrix time series, in which each column may represent daily trading volume curve of one asset, and each row captures synchronized 5-minute volume intervals across multiple assets. While traditional matrix time series focus mainly on temporal evolution, our approach incorporates both spatial and temporal dynamics, enabling simultaneous analysis of interactions…