pith. sign in

(2007) and this proposition is proved

Since the MMAR model is a special case of the mixture VAR model with parameter restrictions, let Bk ⊗ Ak play the role of Θ k1 in Theorem 1 of Fong et al · 2007

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Mixture Matrix-valued Autoregressive Model

stat.ME · 2023-12-11 · unverdicted · novelty 6.0

Proposes MMAR model using EM algorithm for regime shifts in matrix time series, deriving consistency and asymptotic normality.

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  • Mixture Matrix-valued Autoregressive Model stat.ME · 2023-12-11 · unverdicted · none · ref 5

    Proposes MMAR model using EM algorithm for regime shifts in matrix time series, deriving consistency and asymptotic normality.