The GNAR-edge model: A network autoregressive model for networks with time-varying edge weights
GNAR-edge:时变边权网络的自回归模型
In economic and financial applications, there is often the need for analysing multivariate time series, comprising of time series for a range of quantities. In some applications such complex systems can be associated with some underlying network describing pairwise relationships among the quantities. Accounting for the underlying network structure for the analysis of this type of multivariate time series is required for assessing estimation error and can be particularly…