A regularized additive matrix autoregressive model estimates row-wise and column-wise transition matrices as low-rank plus sparse components with a high-dimensional error bound.
Journal of Multivariate Analysis 170, 232–243 (2019)
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High-Dimensional Regularized Additive Matrix Autoregressive Model
A regularized additive matrix autoregressive model estimates row-wise and column-wise transition matrices as low-rank plus sparse components with a high-dimensional error bound.