The paper derives Yule-Walker and Burg estimators for matrix autoregressive models and shows on synthetic data that they match VAR fit with far fewer parameters.
Brockwell and Richard A
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.ST 1years
2025 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Estimation methods of Matrix-valued AR model
The paper derives Yule-Walker and Burg estimators for matrix autoregressive models and shows on synthetic data that they match VAR fit with far fewer parameters.