论文标题
用于矩阵变化时间序列的平滑过渡自回旋模型
A smooth transition autoregressive model for matrix-variate time series
论文作者
论文摘要
在许多应用中，数据被视为具有时间依赖性的矩阵。矩阵变化时间序列建模是计量经济学的新分支。尽管在几个领域的风格化事实，但现有模型并未解释矩阵的动力学的制度开关。在本文中，我们通过引入能够考虑平滑变化的状态切换模型来扩展线性矩阵变差自回归模型。我们以模拟和真实数据证明的渐近特性介绍了估计过程。
In many applications, data are observed as matrices with temporal dependence. Matrix-variate time series modeling is a new branch of econometrics. Although stylized facts in several fields, the existing models do not account for regime switches in the dynamics of matrices that are not abrupt. In this paper, we extend linear matrix-variate autoregressive models by introducing a regime-switching model capable of accounting for smooth changes, the matrix smooth transition autoregressive model. We present the estimation processes with the asymptotic properties demonstrated with simulated and real data.
