Local Interaction Autoregressive Model for High Dimension Time Series Data
高维时间序列数据的局部交互自回归模型
High-dimensional matrix and tensor time series often exhibit local dependency, where each entry interacts mainly with a small neighborhood. Accounting for local interactions in a prediction model can greatly reduce the dimensionality of the parameter space, leading to more efficient inference and more accurate predictions. We propose a Local Interaction Autoregressive (LIAR) framework and study Separable LIAR, a variant with shared row and column components, for…