Factor and Autoregressive Models for Tensor Time Series
Estimation for Reduced Rank MAR(1) Model
Asymptotic Covariance Matrix of One-Term Reduced rank MAR(1) Model
Plot ACF of Matrix-Valued Time Series
Plot Matrix-Valued Time Series
Predict funcions for Tensor Autoregressive Models
Simulate taxi data by tenAR models
Simulate taxi data by factor models
Estimation for Autoregressive Model of Tensor-Valued Time Series
Generate TenAR(p) tensor time series
Estimation for Tucker structure Factor Models of Tensor-Valued Time Se...
Rank Determination for Tensor Factor Models with Tucker Structure
Generate Tensor Time series using given Factor Process and Factor Load...
Factor and autoregressive models for matrix and tensor valued time series. We provide functions for estimation, simulation and prediction. The models are discussed in Li et al (2021) <doi:10.48550/arXiv.2110.00928>, Chen et al (2020) <DOI:10.1080/01621459.2021.1912757>, Chen et al (2020) <DOI:10.1016/j.jeconom.2020.07.015>, and Xiao et al (2020) <doi:10.48550/arXiv.2006.02611>.