Matrix-Variate Time Series Analysis: A Brief Review and Some New Developments

This paper briefly reviews the recent research in matrix-variate time series analysis, discusses some new developments, especially for seasonal time series, and demonstrates some applications. A general matrix autoregressive moving-average model is introduced. The paper narrates a simple approach for understanding the model, identifiability issues, and estimation. Real examples are used to illustrate the theory.

Automated summary

This paper briefly reviews recent research in matrix-variate time series analysis, discusses new developments, especially for seasonal time series, and demonstrates applications. It introduces a general matrix autoregressive moving-average model and provides a simple approach for understanding the model, identifiability issues, and estimation. Real examples are used to illustrate the theory.